SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Volatility spillovers in the European bank CDS market
16 references·5 citing·39 second hop
Volatility spillovers in the European bank CDS market (2015)Volatility spillovers in the European ban…Credit spread interdependencies of European states and banks during the financial crisis (2012)Credit spread interdependenci…How Sovereign Is Sovereign Credit Risk? (2011)How Sovereign Is Sovereign Cr…Default Risk of Advanced Economies: An Empirical Analysis of Credit Default Swaps during the Financial Crisis (2011)Default Risk of Advanced Econ…Markets contagion during financial crisis: A regime-switching approach (2010)Markets contagion during fina…Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS (2009)Credit spreads: An empirical …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 …Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System (2000)Multivariate GARCH Modeling o…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Hourly volatility spillovers between international equity markets (1994)Hourly volatility spillovers …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…Are Forecasting Models Usable for Policy Analysis? (1986)Are Forecasting Models Usable…Alternative Explanations of the Money-Income Correlation (1986)Alternative Explanations of t…Spillover and risk transmission in the components of the term structure of eurozone yield curve (2021)Spillover and risk transmissi…Spillover across Eurozone credit market sectors and determinants (2019)Spillover across Eurozone cre…An alternative approach to predicting bank credit risk in Europe with Google data (2019)An alternative approach to pr…Media sentiment and CDS spread spillovers: Evidence from the GIIPS countries (2016)Media sentiment and CDS sprea…Credit contagion and competitive effects of bond rating downgrades along the supply chain (2015)Credit contagion and competit…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Macroeconomics and Reality (1980)Continuous Auctions and Insider Trading (1985)Chapter 49 Arch models (1994)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)The econometrics of financial markets (1996)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Credit Rationing in Markets with Imperfect Information (1981)Time to Build and Aggregate Fluctuations (1982)Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors (1993)Chapter 2 Monetary policy shocks: What have we learned and to what end? (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Constraints on short-selling and asset price adjustment to private information (1987)Explaining the Rate Spread on Corporate Bonds (2001)A framework for assessing the systemic risk of major financial institutions (2009)The Impact of Climate Change on the Cost of Bank Loans (2020)Finance and Economics Discussion Series (2022)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)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)The Cross‐Section of Volatility and Expected Returns (2006)What Does Monetary Policy Do? (1996)Oil price shocks and stock market activity (1999)What are the effects of fiscal policy shocks? (2009)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Asymmetric volatility transmission in international stock markets (1995)Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)
this work references cited by second hop

References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1986Alternative Explanations of the Money-Income Correlation1,501 cited
  • 1986Are Forecasting Models Usable for Policy Analysis?1,224 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
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • 2006An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps629 cited
  • 1994Hourly volatility spillovers between international equity markets389 cited
  • 2009Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS328 cited
  • 2012Credit spread interdependencies of European states and banks during the financial crisis302 cited
  • 2011Default Risk of Advanced Economies: An Empirical Analysis of Credit Default Swaps during the Financial Crisis

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

246 cited
  • 2010Markets contagion during financial crisis: A regime-switching approach221 cited
  • 2000Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System189 cited
  • Cited by

    • 2019Spillover across Eurozone credit market sectors and determinants31 cited
    • 2015Credit contagion and competitive effects of bond rating downgrades along the supply chain30 cited
    • 2019An alternative approach to predicting bank credit risk in Europe with Google data28 cited
    • 2016Media sentiment and CDS spread spillovers: Evidence from the GIIPS countries26 cited
    • 2021Spillover and risk transmission in the components of the term structure of eurozone yield curve26 cited