Nonlinearities in CDS-Bond Basis
Author:
Affiliation:
1. a Research and Monetary Policy Department, Central Bank of the Republic of Turkey, Ankara, Turkey
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.2753/REE1540-496X490301
Reference28 articles.
1. The Behavior of Emerging Market Sovereigns' Credit Default Swap Premiums and Bond Yield Spreads;M. Adler;International Journal of Finance and Economics,2010
2. Liquidity and Hedging Effectiveness Under Futures Mispricing: International Evidence;A. Andani;Journal of Futures Markets,2009
3. Tests for Parameter Instability and Structural Change with Unknown Change Point;D. Andrews;Econometrica,1993
4. An Empirical Analysis of the Dynamic Relationship Between Investment-Grade Bonds and Credit Default Swaps;R. Blanco;Journal of Finance,2005
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