The reaction of sovereign CDS spread volatilities to news announcements
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DOI: 10.1057/jam.2016.20
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- Saker Sabkha & Christian Peretti & Dorra Hmaied, 2019. "On the informational market efficiency of the worldwide sovereign credit default swaps," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 581-608, December.
- Raimbourg, Philippe & Salvadè, Federica, 2021. "Rating Announcements, CDS Spread and Volatility During the European Sovereign Crisis," Finance Research Letters, Elsevier, vol. 40(C).
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Keywords
news announcements; CDS spreads; euro-area countries;All these keywords.
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