The sovereign credit default swap market: price discovery, volumes and links with banks' risk premia
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Cited by:
- Gyntelberg, Jacob & Hördahl, Peter & Ters, Kristyna & Urban, Jörg, 2018. "Price discovery in euro area sovereign credit markets and the ban on naked CDS," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 106-125.
- Broto, Carmen & Pérez-Quirós, Gabriel, 2015.
"Disentangling contagion among sovereign CDS spreads during the European debt crisis,"
Journal of Empirical Finance, Elsevier, vol. 32(C), pages 165-179.
- Carmen Broto & Gabriel Perez-Quiros, 2013. "Disentangling contagion among sovereign cds spreads during the european debt crisis," Working Papers 1314, Banco de España.
- Hervé Alexandre & François Guillemin & Catherine Refait-Alexandre, 2015. "Downgrades of sovereign credit ratings and impact on banks CDS spread: does disclosure by banks improve stability?," Post-Print hal-01622782, HAL.
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More about this item
Keywords
announcements; corporate sector; credit spread; CDS; government bond; limits to arbitrage; volumes;All these keywords.
JEL classification:
- G00 - Financial Economics - - General - - - General
- G01 - Financial Economics - - General - - - Financial Crises
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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