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The impact of distressed economies on the EU sovereign market
16 references·1 citing·44 second hopsampled
The impact of distressed economies on the EU sovereign market (2013)The impact of distressed economies on the…How Sovereign Is Sovereign Credit Risk? (2011)How Sovereign Is Sovereign Cr…New Evidence on the Interest Rate Effects of Budget Deficits and Debt (2009)New Evidence on the Interest …Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)Explaining Credit Default Swa…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Variance Risk Premiums (2008)Variance Risk PremiumsDefault and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Default and Recovery Implicit…An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps (2006)An Empirical Analysis of the …An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)An Empirical Analysis of the …Is Default Event Risk Priced in Corporate Bonds? (2004)Is Default Event Risk Priced …Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Asset pricing with a factor-arch covariance structure (1990)Asset pricing with a factor-a…Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills (1988)Asset Pricing with a Factor A…On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Volatility spillovers in the European bank CDS market (2015)Volatility spillovers in the …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The pricing of commodity contracts (1976)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Carry Trades and Currency Crashes (2008)Carry Trades and Currency Crashes (2008)The Cross-Section of Expected Stock Returns (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Volatility forecast comparison using imperfect volatility proxies (2010)Liquidity Risk and Expected Stock Returns (2003)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Tails, Fears, and Risk Premia (2011)The VIX, the variance premium and stock market volatility (2014)Momentum crashes (2016)Debt with Potential Repudiation: Theoretical and Empirical Analysis (1981)Modeling Term Structures of Defaultable Bonds (1999)Market Liquidity and Funding Liquidity (2008)Evaporating Liquidity (2012)International Channels of Transmission of Monetary Policy and the Mundellian Trilemma (2016)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Prospect Theory and Asset Prices (2001)Credit Spreads and Business Cycle Fluctuations (2012)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Insider trading in credit derivatives☆ (2007)A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 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
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 2008Variance Risk Premiums1,328 cited
  • 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • 2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads805 cited
  • 2009New Evidence on the Interest Rate Effects of Budget Deficits and Debt698 cited
  • 2006An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps629 cited
  • 1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills587 cited
  • 2009Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms572 cited
  • 2004

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Is Default Event Risk Priced in Corporate Bonds?
566 cited
  • 1990Asset pricing with a factor-arch covariance structure542 cited
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    • 2015Volatility spillovers in the European bank CDS market31 cited