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The Empirical Determinants of Credit Default Swap Spreads: a Quantile Regression Approach
16 references·5 citing·33 second hop
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References

  • 1978Specification Tests in Econometrics18,788 cited
  • 2021Econometric Analysis of Panel Data15,089 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2008Bootstrap-Based Improvements for Inference with Clustered Errors4,311 cited
  • 2006Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches2,559 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2008In Search of Distress Risk2,232 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited

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2001
Term Structures of Credit Spreads with Incomplete Accounting Information
1,321 cited

Cited by

  • 2017Spatial analysis of sovereign risks: The case of emerging markets34 cited
  • 2017An international forensic perspective of the determinants of bank CDS spreads32 cited
  • 2016Determinants of bank CDS spreads in Europe31 cited
  • 2020Capital Structure and Bank Profitability in Vietnam: A Quantile Regression Approach29 cited
  • 2019Financial development, government bond returns, and stability: International evidence24 cited