The Co-Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia-Pacific Markets
Author:
Affiliation:
1. Department of Finance, Business School; Auckland University of Technology; Auckland New Zealand
2. PRISM Sorbonne EA 4101; Université Paris 1 Panthéon - Sorbonne; Paris France
Publisher
Wiley
Subject
Economics and Econometrics,Finance
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/irfi.12237/fullpdf
Reference52 articles.
1. Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise;Aït-Sahalia;Journal of Econometrics,2011
2. The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil;Alter;Journal of Banking & Finance,2014
3. Credit Spread Interdependencies of European States and Banks during the Financial Crisis;Alter;Journal of Banking & Finance,2012
4. Modeling and Forecasting Realized Volatility;Andersen;Econometrica,2003
5. What Determines Euro Area Bank CDS Spreads?;Annaert;Journal of International Money and Finance,2013
Cited by 12 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Central Bank Credibility as A Determinant of Sovereign Risk Premium: Evidence from Turkey;Bulletin of Economic Theory and Analysis;2023-12-30
2. Hisse Senedi Getirilerinin Belirleyicileri: BİST Bankacılık Sektörü Üzerine Bir İnceleme;İnsan ve Toplum Bilimleri Araştırmaları Dergisi;2023-09-30
3. The Influence of Equity Market Sentiment on Credit Default Swap Markets: Evidence from Wavelet Quantile Regression;Complexity;2023-08-16
4. Exploring Commonality in Liquidity and Volatility Risk Pricing in Indian Stock Markets;Proceedings of the 2023 6th International Conference on Mathematics and Statistics;2023-07-14
5. CDS and equity markets’ volatility linkages: lessons from the EMU crisis;Review of Quantitative Finance and Accounting;2023-01-26
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3