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Credit Risk Discovery in the Stock and CDS Markets: Who Leads, When, and Why?
16 references·2 citing·38 second hop
Credit Risk Discovery in the Stock and CDS Markets: Who Leads, When, and Why? (2008)Credit Risk Discovery in the Stock and CD…The Determinants of Credit Default Swap Premia (2009)The Determinants of Credit De…The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis (2009)The Co‐movement of Credit Def…Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS (2009)Credit spreads: An empirical …Insider trading in credit derivatives☆ (2007)Insider trading in credit der…An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market (2006)An Empirical Comparison of Cr…Credit Ratings and Stock Liquidity (2005)Credit Ratings and Stock Liqu…An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)An Empirical Analysis of the …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 …Price discovery and common factor models (2002)Price discovery and common fa…Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…COINTEGRATION AND ERROR CORRECTION: REPRESENTATION (1987)COINTEGRATION AND ERROR CORRE…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Relationships between Financial Sectors’ CDS Spreads and Other Gauges of Risk: Did the Great Recession Change Them? (2013)Relationships between Financi…Asymmetric convergence in US financial credit default swap sector index markets (2011)Asymmetric convergence in US …Variable Trends in Economic Time Series (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Intraday Price Formation in U.S. Equity Index Markets (2003)The crude oil market and the gold market: Evidence for cointegration, causality and price discovery (2010)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A PANIC Attack on Unit Roots and Cointegration (2004)Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption (2004)Realized Variance and Market Microstructure Noise (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The theory and practice of corporate finance: evidence from the field (2001)Cointegration and Tests of Present Value Models (1987)Inferring Trade Direction from Intraday Data (1991)Market microstructure: A survey (2000)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Determinants of Credit Spread Changes (2001)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)Bank Capital: Lessons from the Financial Crisis (2010)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)Risk, Return, and Equilibrium: Empirical Tests (1973)Continuous Auctions and Insider Trading (1985)Has the CDS market lowered the cost of corporate debt? (2009)Credit Default Swaps and the Credit Crisis (2010)Modeling Term Structures of Defaultable Bonds (1999)A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Tourism as a long-run economic growth factor: the Spanish case (2002)Testing for Error Correction in Panel Data* (2007)Do Natural Resources Fuel Authoritarianism? A Reappraisal of the Resource Curse (2011)Bounds testing approaches to the analysis of level relationships (2001)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
  • 1987COINTEGRATION AND ERROR CORRECTION: REPRESENTATION1,262 cited
  • 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
  • 2007Insider trading in credit derivatives☆827 cited
  • 2009The Determinants of Credit Default Swap Premia663 cited
  • 2002Price discovery and common factor models546 cited
  • 2006An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market540 cited
  • 2009The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis526 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems426 cited
  • 2004An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps386 cited

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  • 2009Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS328 cited
  • 2005Credit Ratings and Stock Liquidity205 cited
  • Cited by

    • 2013Relationships between Financial Sectors’ CDS Spreads and Other Gauges of Risk: Did the Great Recession Change Them?19 cited
    • 2011Asymmetric convergence in US financial credit default swap sector index markets17 cited