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The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis
16 references·16 citing·34 second hopsampled
The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis (2011)The integration of the credit default swa…Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling–recoupling hypothesis (2009)Transmission of the U.S. subp…Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Good and bad credit contagion…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004)The relationship between cred…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps (2004)An Empirical Analysis of the …Testing for unit roots in heterogeneous panels (2003)Testing for unit roots in het…Unit root tests in panel data: asymptotic and finite-sample properties (2002)Unit root tests in panel data…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…The term structure of credit spreads with jump risk (2001)The term structure of credit …The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)A Comparative Study of Unit R…The Relation Between Treasury Yields and Corporate Bond Yield Spreads (1998)The Relation Between Treasury…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Sovereign risk spillovers: A network approach (2022)Sovereign risk spillovers: A …Tail event-based sovereign credit risk transmission network during COVID-19 pandemic (2021)Tail event-based sovereign cr…A kernel fuzzy twin SVM model for early warning systems of extreme financial risks (2020)A kernel fuzzy twin SVM model…An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela (2019)An investigation of oil price…The term structure of CDS spreads and sovereign credit risk (2018)The term structure of CDS spr…Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes (2018)Sectoral dynamics of financia…Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries (2018)Determinants of dependence st…Sovereign Credit Risk Co‐Movements in the Eurozone: Simple Interdependence or Contagion? (2016)Sovereign Credit Risk Co‐Move…Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets (2016)Modeling Time-Varying Correla…How do global investors differentiate between sovereign risks? The new normal versus the old (2016)How do global investors diffe…Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimation (2016)Conditional dependence of US …How Connected is the Global Sovereign Credit Risk Network? (2015)How Connected is the Global S…Dynamic interdependence of sovereign credit default swaps in BRICS and MIST countries (2015)Dynamic interdependence of so…The Impact of the Global Financial Crisis on Industry Growth (2014)The Impact of the Global Fina…Impacts of the financial crisis on eurozone sovereign CDS spreads (2014)Impacts of the financial cris…Sovereign Credit Default Swap Premia (2012)Sovereign Credit Default Swap…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Statistical Methods for Meta-Analysis (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)An equilibrium characterization of the term structure (1977)Default Risk in Equity Returns (2004)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)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)The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)The Economics of Structured Finance (2009)Corporate bond liquidity before and after the onset of the subprime crisis (2011)Common risk factors in the returns on stocks and bonds (1993)Prospect Theory and Asset Prices (2001)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Credit Spreads and Business Cycle Fluctuations (2012)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)
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References

  • 2003Testing for unit roots in heterogeneous panels15,333 cited
  • 2002Unit root tests in panel data: asymptotic and finite-sample properties12,832 cited
  • 1999A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test7,482 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2004The relationship between credit default swap spreads, bond yields, and credit rating announcements1,008 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets896 cited
  • 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads778 cited
  • 2007Good and bad credit contagion: Evidence from credit default swaps☆588 cited
  • 2001The term structure of credit spreads with jump risk511 cited
  • 2009Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling–recoupling hypothesis

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433 cited
  • 2004An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps386 cited
  • Cited by

    • 2018The term structure of CDS spreads and sovereign credit risk106 cited
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    • 2014The Impact of the Global Financial Crisis on Industry Growth55 cited
    • 2016Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets55 cited
    • 2019An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela48 cited
    • 2022Sovereign risk spillovers: A network approach47 cited
    • 2014Impacts of the financial crisis on eurozone sovereign CDS spreads46 cited
    • 2016How do global investors differentiate between sovereign risks? The new normal versus the old38 cited
    • 2015How Connected is the Global Sovereign Credit Risk Network?38 cited
    • 2015Dynamic interdependence of sovereign credit default swaps in BRICS and MIST countries37 cited
    • 2016Sovereign Credit Risk Co‐Movements in the Eurozone: Simple Interdependence or Contagion?37 cited
    • 2018Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes37 cited
    • 2016Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimation36 cited
    • 2021Tail event-based sovereign credit risk transmission network during COVID-19 pandemic35 cited
    • 2020A kernel fuzzy twin SVM model for early warning systems of extreme financial risks31 cited