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What Can EMU Countries’ Sovereign Bond Spreads Tell Us About Market Perceptions of Default Probabilities During the Recent Financial Crisis?
16 references·1 citing·50 second hopsampled
What Can EMU Countries’ Sovereign Bond Spreads Tell Us About Market Perceptions of Default Probabilities During the Recent Financial Crisis? (2012)What Can EMU Countries’ Sovereign Bond Sp…Understanding Bias in Nonlinear Panel Models: Some Recent Developments (2008)Understanding Bias in Nonline…Pricing Derivatives on Financial Securities Subject to Credit Risk (2008)Pricing Derivatives on Financ…A ratings‐based approach to measuring sovereign risk (2007)A ratings‐based approach to m…What drives credit risk in emerging markets? The roles of country fundamentals and market co-movements (2006)What drives credit risk in em…Quantification of sovereign risk: Using the information in equity market prices (2005)Quantification of sovereign r…An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)An Empirical Analysis of the …The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices (2004)The Flight‐to‐Liquidity Premi…An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps (2004)An Empirical Analysis of the …Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2003)Modeling Sovereign Yield Spre…Currency Mismatches, Debt Intolerance and Original Sin: Why They Are Not the Same and Why it Matters (2003)Currency Mismatches, Debt Int…Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2001)Modeling Sovereign Yield Spre…Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models (1993)Stochastic Devaluation Risk a…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models (1991)Stochastic Devaluation Risk a…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Contagion in the Euro Area Sovereign Bond Market (2014)Contagion in the Euro Area So…Law and Finance (1996)Why do Some Countries Produce So Much More Output Per Worker than Others? 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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
  • 2004The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices561 cited
  • 2003Currency Mismatches, Debt Intolerance and Original Sin: Why They Are Not the Same and Why it Matters454 cited
  • 2004An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps386 cited
  • 2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt381 cited
  • 1993Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models269 cited
  • 2001Modeling Sovereign Yield Spreads: A Case Study of Russian Debt146 cited
  • 2006What drives credit risk in emerging markets? The roles of country fundamentals and market co-movements103 cited
  • 2008Pricing Derivatives on Financial Securities Subject to Credit Risk86 cited
  • 2008Understanding Bias in Nonlinear Panel Models: Some Recent Developments85 cited
  • 1991Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models

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82 cited
  • 2007A ratings‐based approach to measuring sovereign risk60 cited
  • 2005Quantification of sovereign risk: Using the information in equity market prices39 cited
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    • 2014Contagion in the Euro Area Sovereign Bond Market20 cited