Risk spillovers in oil-related CDS, stock and credit markets-Reference-Cited by-同舟云学术

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Risk spillovers in oil-related CDS, stock and credit markets

Published:2013-03 Issue: Volume:36 Page:526-535
ISSN:0140-9883
Container-title:Energy Economics
language:en
Short-container-title:Energy Economics

Author:

Hammoudeh Shawkat,Liu Tengdong,Chang Chia-Lin,McAleer Michael

Funder

National Science Council, Taiwan

Australian Research Council

Japan Society for the Promotion of Science

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference28 articles.

1. The jump component of S&P 500 volatility and the VIX index;Becker;J. Bank. Finance,2009

2. Measuring Default Risk Premium from Default Swap Rates and EDFs;Berndt,2008

3. Forecasting default with the KMV-Merton model;Bharath;J. Financ. Stud.,2008

4. An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps;Blanco;J. Finance,2005

5. Credit default swaps and equity prices: the iTraxx CDS index market;Bystrom;Financ. Anal. J.,2006

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1. Oil price uncertainly and sovereign credit risk in GCC countries: fresh evidence;International Economics and Economic Policy;2024-02-27

2. Credit risk and bubble behavior of credit default swaps in the corporate energy sector;International Review of Economics & Finance;2024-01

3. Central Bank Credibility as A Determinant of Sovereign Risk Premium: Evidence from Turkey;Bulletin of Economic Theory and Analysis;2023-12-30

4. CDS risk premia forecasting with multi-featured deep RNNs: An application on BR[I]CS countries;Borsa Istanbul Review;2023-11

5. Re-examining the Impact of Oil Price Uncertainty on Sovereign CDS Spread of GCC Countries: Accounting for the Asymmetry and Outliers;Energy RESEARCH LETTERS;2023-09-30

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