On the relationship between sovereign bonds and credit default swaps in Portugal
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- Jorge Miguel Lopo Gonçalves Andraz & Nélia Maria Afonso Norte, 2019. "Who leads the price determination in periods of financial distress: Credit default swaps or bonds spreads? Evidence for a set of EU member States," CEFAGE-UE Working Papers 2019_04, University of Evora, CEFAGE-UE (Portugal).
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More about this item
Keywords
Credit default swaps; sovereign bonds; unit roots; regime changes; cointegration; ARDL.;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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