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Determinants of sovereign credit risk: the case of Russia
16 references·1 citing·51 second hop
Determinants of sovereign credit risk: the case of Russia (2016)Determinants of sovereign credit risk: th…Understanding the sovereign credit ratings of emerging markets (2014)Understanding the sovereign c…Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Modelling Asymmetric Cointegr…Systemic sovereign credit risk: Lessons from the U.S. and Europe (2013)Systemic sovereign credit ris…Determinants of Sovereign Bond Spreads in Emerging Markets (2013)Determinants of Sovereign Bon…Systemic risk measures: The simpler the better? (2012)Systemic risk measures: The s…Determinants and price discovery of China sovereign credit default swaps (2012)Determinants and price discov…Daily pricing of emerging market sovereign CDS before and during the global financial crisis (2012)Daily pricing of emerging mar…Sovereign CDS and bond pricing dynamics in emerging markets: Does the cheapest-to-deliver option matter? (2011)Sovereign CDS and bond pricin…How Sovereign Is Sovereign Credit Risk? (2011)How Sovereign Is Sovereign Cr…The reaction of emerging market credit default swap spreads to sovereign credit rating changes (2010)The reaction of emerging mark…Leads and lags in sovereign credit ratings (2010)Leads and lags in sovereign c…Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt (2010)Determinants of Sovereign Ris…Journal of Applied Econometrics (2006)Journal of Applied Econometri…On the estimation and inference of a cointegrated regression in panel data (2004)On the estimation and inferen…Bounds testing approaches to the analysis of level relationships (2001)Bounds testing approaches to …Statistical inference in vector autoregressions with possibly integrated processes (1995)Statistical inference in vect…What Explains the Sovereign Credit Default Swap Spreads Changes in the GCC Region? 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(2012)Political Risk Spreads (2014)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Coherent Measures of Risk (1999)Theory of rational option pricing (2005)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Where the Risks Lie: A Survey on Systemic Risk (2015)TENET: Tail-Event driven NETwork risk (2016)Bank Runs, Deposit Insurance, and Liquidity (1983)This Time Is Different (2009)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)The Effect of Fixed Exchange Rates on Monetary Policy (2004)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)The Mechanism(s) of Neighbourhood Effects: Theory, Evidence, and Policy Implications (2011)
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References

  • 2001Bounds testing approaches to the analysis of level relationships21,232 cited
  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,202 cited
  • 2014Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework3,836 cited
  • 2004On the estimation and inference of a cointegrated regression in panel data1,851 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • 2006Journal of Applied Econometrics990 cited
  • 2010Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt530 cited
  • 2013Systemic sovereign credit risk: Lessons from the U.S. and Europe373 cited
  • 2010The reaction of emerging market credit default swap spreads to sovereign credit rating changes298 cited
  • 2012Systemic risk measures: The simpler the better?220 cited
  • 2012Daily pricing of emerging market sovereign CDS before and during the global financial crisis165 cited
  • 2010Leads and lags in sovereign credit ratings140 cited
  • 2011Sovereign CDS and bond pricing dynamics in emerging markets: Does the cheapest-to-deliver option matter?111 cited
  • 2013Determinants of Sovereign Bond Spreads in Emerging Markets95 cited
  • 2012

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Determinants and price discovery of China sovereign credit default swaps
94 cited
  • 2014Understanding the sovereign credit ratings of emerging markets81 cited
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    • 2020What Explains the Sovereign Credit Default Swap Spreads Changes in the GCC Region?16 cited