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Global risk spillover and the predictability of sovereign CDS spread: International evidence
16 references·3 citing·30 second hop
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
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  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
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  • 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps

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1,166 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • Cited by

    • 2020Spillovers between sovereign CDS and exchange rate markets: The role of market fear56 cited
    • 2023The effect of economic and political uncertainty on sovereign CDS spreads32 cited
    • 2019International risk spillover in sovereign credit markets: an empirical analysis31 cited