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Time-Varying Contributions by the Corporate Bond and CDS Markets to Credit Risk Price Discovery
5 references·2 citing·26 second hop
Time-Varying Contributions by the Corporate Bond and CDS Markets to Credit Risk Price Discovery (2007)Time-Varying Contributions by the Corpora…End-User Order Flow and Exchange Rate Dynamics (2016)End-User Order Flow and Excha…Limits to International Banking Consolidation (2007)Limits to International Banki…An affine macro-finance term structure model for the euro area (2007)An affine macro-finance term …An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market (2006)An Empirical Comparison of Cr…Regionalw�hrungen in Deutschland (2005)Regionalw�hrungen in Deutschl…Price Discovery in the Italian Sovereign Bonds Market: The Role of Order Flow (2013)Price Discovery in the Italia…The effect of liquidity on the price discovery process in credit derivatives markets in times of financial distress (2011)The effect of liquidity on th…An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Interest and Prices (2004)An Extended Macro-Finance Model with Financial Factors (2009)Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets (2011)The interest rate effects of government bond purchases away from the lower bound (2017)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)American Economic Review (2019)Bank Runs, Deposit Insurance, and Liquidity (1983)Geography and Trade (1991)Financial Contagion (2000)Profitability of Western European Banking Systems: Panel Evidence on Structural and Cyclical Determinants (2007)Slippery slopes of stress: Ordered failure events in German banking (2007)Measuring the Information Content of Stock Trades (1991)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Central Bank and Government in a Speculative Attack Model (2013)Macroeconomic and Monetary Policy Surprises and the Term Structure of Interest Rates (2013)Statistical analysis of cointegration vectors (1988)How Profitable Is Capital Structure Arbitrage? (2006)The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis (2009)Are green bonds priced differently from conventional bonds? (2018)Empirical exchange rate models of the seventies (1983)Continuous Auctions and Insider Trading (1985)Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data: Evidence from Germany (2008)Relationship Lending: Empirical Evidence for Germany (2016)
this work references cited by second hop

References

  • 2006An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market540 cited
  • 2007Limits to International Banking Consolidation55 cited
  • 2005Regionalw�hrungen in Deutschland45 cited
  • 2016End-User Order Flow and Exchange Rate Dynamics35 cited
  • 2007An affine macro-finance term structure model for the euro area22 cited

Cited by

  • 2013Price Discovery in the Italian Sovereign Bonds Market: The Role of Order Flow30 cited
  • 2011The effect of liquidity on the price discovery process in credit derivatives markets in times of financial distress27 cited

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