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Distribution specific dependence and causality between industry-level U.S. credit and stock markets
16 references·4 citing·43 second hop
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2015Oil prices, US stock return, and the dependence between their quantiles1,428 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
  • 2006An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps629 cited
  • 2009The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis526 cited
  • 2016The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method337 cited
  • 2009Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS

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328 cited
  • 2011A consistent nonparametric test for nonlinear causality—Specification in time series regression314 cited
  • 2014Does the Tail Wag the Dog?: The Effect of Credit Default Swaps on Credit Risk235 cited
  • Cited by

    • 2021Effect of oil price uncertainty on clean energy metal stocks in China: Evidence from a nonparametric causality-in-quantiles approach70 cited
    • 2020Kredi Temerrüt Swapları (CDS) ile Borsa İstanbul 100 Endeksi Arasındaki İlişki: Kısa ve Uzun Dönemli Zaman Serisi Analizleri (The Relationship between Credit Default Swaps and Borsa Istanbul 100 Index: The Short and Long Term Time Series Analysis)33 cited
    • 2020Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work?31 cited
    • 2023Downside and upside risk spillovers between financial industry and real economy based on linear and nonlinear networks31 cited