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An analysis of sectoral equity and CDS spreads · Study

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ArticleAn analysis of sectoral equity and CDS spreads

Paresh Kumar Narayan2014

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An analysis of sectoral equity and CDS spreads

Paresh Kumar Narayan

39 citations·0/0 files stored·Journal of International Financial Markets Institutions and Money

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Credit Risk and Financial Regulations

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 1989Why Does Stock Market Volatility Change Over Time?2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 2007Modelling Financial Time Series

Cited by

2019Corporate Social Responsibility and the Term Structure of CDS Spreads 2017Distribution specific dependence and causality between industry-level U.S. credit and stock markets 2018Coherence, connectedness and dynamic hedging effectiveness between emerging markets equities and commodity index funds 2020Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work?2016Determinants of bank CDS spreads in Europe

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Year2014

Typearticle

Published2014-11-01

VenueJournal of International Financial Markets Institutions and Money

ISSN-L1042-4431

Languageen

Citations39

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.intfin.2014.10.004

openalex_workW2013458455

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2019The hedging effectiveness of global sectors in emerging and developed stock markets