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Seeking causality between liquidity risk and credit risk: TED-OIS spreads and CDS indexes
16 references·0 citing·50 second hop
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References

  • 1970The Market for "Lemons": Quality Uncertainty and the Market Mechanism24,221 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods23,139 cited
  • 1973Job Market Signaling19,221 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,202 cited
  • 2008Introductory Econometrics for Finance3,781 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,703 cited
  • 2011Liquidity risk management and credit supply in the financial crisis1,219 cited
  • 2011Asymmetric causality tests with an application880 cited
  • 2008Carry Trades and Currency Crashes792 cited
  • 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns784 cited
  • 2006Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application722 cited
  • 2008Carry Trades and Currency Crashes668 cited
  • 2006Liquidity and Credit Risk452 cited
  • 2012What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk

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422 cited
  • 2011Over the Cliff: From the Subprime to the Global Financial Crisis400 cited
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