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Time-Varying Credit Risk and Liquidity Premia in Bond and CDS Markets

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References

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Cited by

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2011

Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis

92 cited

2013Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach69 cited

2013Credit and liquidity components of corporate CDS spreads65 cited

2010Corporate Credit Default Swap Liquidity and Its Implicationsfor Corporate Bond Spreads58 cited

2012Dollar illiquidity and central bank swap arrangements during the global financial crisis51 cited

2013The Empirical Determinants of Credit Default Swap Spreads: a Quantile Regression Approach46 cited

2012Credit Risk in Covered Bonds42 cited

2019Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach41 cited

2020Mutual Fund Holdings of Credit Default Swaps: Liquidity, Yield, and Risk41 cited

2014Predictions of corporate bond excess returns39 cited

2016Nonparametric machine learning models for predicting the credit default swaps: An empirical study37 cited

2009AN EMPIRICAL STUDY ON THE DECOUPLING MOVEMENTS BETWEEN CORPORATE BOND AND CDS SPREADS 133 cited

2015The liquidity premium in CDS transaction prices: Do frictions matter?30 cited

2009Explaining the Bond-CDS Basis: The role of credit risk and liquidity29 cited

2011What Moves CDS Spreads?29 cited

2013Time‐ V arying Credit Risk Discovery in the Stock and CDS Markets: Evidence from Quiet and Crisis Times27 cited