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The impact of distressed economies on the EU sovereign market · Study

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ArticleThe impact of distressed economies on the EU sovereign market

Jonatan Groba2013

Article2013

The impact of distressed economies on the EU sovereign market

Jonatan Groba · Juan Ángel Lafuente · Pedro Serrano

36 citations·0/0 files stored·Journal of Banking & Finance

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Credit Risk and Financial Regulations Global Financial Crisis and Policies European Monetary and Fiscal Policies

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1995Multivariate Simultaneous Generalized ARCH 2001The Determinants of Credit Spread Changes 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 2009Expected Stock Returns and Variance Risk Premia 1980On the Estimation of Security Price Volatilities from Historical Data 2008Variance Risk Premiums 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps

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2015Volatility spillovers in the European bank CDS market

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2013What drives corporate default risk premia? Evidence from the CDS marketarticle · 17 shared references 2013Pricing Credit Default Swaps with Observable Covariatesarticle · 12 shared references 2014Economic and Financial Determinants of Credit Risk Premiums in the Sovereign CDS Marketarticle · 12 shared references 2014Credit Default Swaps: A Surveyarticle · 11 shared references 2013Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risksarticle · 9 shared references 2013Credit default swap spreads and variance risk premiaarticle · 9 shared references

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Year2013

Typearticle

Published2013-02-18

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations36

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jbankfin.2013.02.003

openalex_workW1997012158

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