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Relationships between Financial Sectors’ CDS Spreads and Other Gauges of Risk: Did the Great Recession Change Them?
16 references·2 citing·29 second hop
Relationships between Financial Sectors’ CDS Spreads and Other Gauges of Risk: Did the Great Recession Change Them? (2013)Relationships between Financial Sectors’ …The Determinants of Credit Default Swap Premia (2009)The Determinants of Credit De…Forecasting Default with the Merton Distance to Default Model (2008)Forecasting Default with the …Insider trading in credit derivatives☆ (2007)Insider trading in credit der…An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)An Empirical Analysis of the …Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements (2004)Informational efficiency of c…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Numerical distribution functions of likelihood ratio tests for cointegration (1999)Numerical distribution functi…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Strength of co-movement between sector CDS indexes and relationship with major economic and financial variables over time and during investment horizons (2016)Strength of co-movement betwe…The conditional dependence structure of insurance sector credit default swap indices (2014)The conditional dependence st…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)The Economics of Structured Finance (2009)Credit Spreads and Business Cycle Fluctuations (2012)Predictably Unequal? The Effects of Machine Learning on Credit Markets (2021)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Default Risk in Equity Returns (2004)Macroeconomics and Reality (1980)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)
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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
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2008Forecasting Default with the Merton Distance to Default Model2,220 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 1999Numerical distribution functions of likelihood ratio tests for cointegration2,028 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

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2009
The Determinants of Credit Default Swap Premia
663 cited
  • 2004Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements655 cited
  • Cited by

    • 2014The conditional dependence structure of insurance sector credit default swap indices17 cited
    • 2016Strength of co-movement between sector CDS indexes and relationship with major economic and financial variables over time and during investment horizons16 cited