Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Sovereign CDS and bond pricing dynamics in emerging markets: Does the cheapest-to-deliver option matter?

16 references·16 citing·43 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
2001The Determinants of Credit Spread Changes2,253 cited
2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
2001Explaining the Rate Spread on Corporate Bonds1,580 cited
1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
2004The relationship between credit default swap spreads, bond yields, and credit rating announcements1,008 cited
2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads805 cited
2004Informed Trading in Stock and Option Markets750 cited
1999Credit Swap Valuation636 cited
2006An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps629 cited
2006An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market540 cited
1995Estimation of Common Long-Memory Components in Cointegrated Systems426 cited
2000Valuing Credit Default Swaps I426 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2004

An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps

386 cited

2012The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements263 cited

Cited by

2013Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis108 cited
2016Ambiguity, Volatility, and Credit Risk99 cited
2011Sovereign CDS and Bond Pricing Dynamics in the Euro-area93 cited
2016Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach91 cited
2011Has the CDS Market Influenced the Borrowing Cost of European Countries During the Sovereign Crisis?84 cited
2016Credit Default Swaps: Past, Present, and Future83 cited
2012Sovereign Credit Default Swap Premia77 cited
2013Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach69 cited
2018The Liquidity Effects of Official Bond Market Intervention69 cited
2015Global risk spillover and the predictability of sovereign CDS spread: International evidence56 cited
2014Credit default swaps and the market for sovereign debt50 cited
2013The Interactions between the Credit Default Swap and the Bond Markets in Financial Turmoil41 cited
2020Systemic risk and financial stability dynamics during the Eurozone debt crisis40 cited
2021A Theory of Liquidity Spillover between Bond and CDS Markets40 cited
2015Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007–201334 cited
2011Emerging market yield spreads: Domestic, external determinants, and volatility spillovers33 cited