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Global risk spillover and the predictability of sovereign CDS spread: International evidence
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- Mikhail Stolbov, 2017. "Determinants of sovereign credit risk: the case of Russia," Post-Communist Economies, Taylor & Francis Journals, vol. 29(1), pages 51-70, January.
- Saker Sabkha & Christian De Peretti & Dorra Hmaied, 2017. "The Credit Default Swap market contagion during recent crises: International evidence," Working Papers hal-01572510, HAL.
- Lahiani, Amine & Hammoudeh, Shawkat & Gupta, Rangan, 2016.
"Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting,"
International Review of Economics & Finance, Elsevier, vol. 43(C), pages 443-456.
- Amine Lahiani & Shawkat Hammoudeh & Rangan Gupta, 2014. "Linkages between Financial Sector CDS Spreads and Macroeconomic Influence in a Nonlinear Setting," Working Papers 201456, University of Pretoria, Department of Economics.
- Amine Lahiani & Shawkat Hammoudeh & Rangan Gupta, 2016. "Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting," Post-Print hal-03531142, HAL.
- Saker Sabkha & Christian de Peretti & Dorra Mezzez Hmaied, 2019. "International risk spillover in the sovereign credit markets: An empirical analysis," Post-Print hal-01652526, HAL.
- Saker Sabkha & Christian de Peretti & Dorra Hmaied, 2018. "Nonlinearities in the oil fluctuation effects on the sovereign credit risk: A Self-Exciting Threshold Autoregression approach," Working Papers hal-01698012, HAL.
- Kim, Hyun-Seok & Min, Hong-Ghi & McDonald, Judith A., 2016. "Returns, correlations, and volatilities in equity markets: Evidence from six OECD countries during the US financial crisis," Economic Modelling, Elsevier, vol. 59(C), pages 9-22.
- Saker Sabkha & Christian de Peretti & Dorra Hmaied, 2017. "International risk spillover in the sovereign credit markets: An empirical analysis," Working Papers hal-01652526, HAL.
- Mensi, Walid & Shahzad, Syed Jawad Hussain & Hammoudeh, Shawkat & Hkiri, Besma & Hamed Al Yahyaee, Khamis, 2019. "Long-run relationships between US financial credit markets and risk factors: Evidence from the quantile ARDL approach," Finance Research Letters, Elsevier, vol. 29(C), pages 101-110.
- Saker Sabkha & Christian Peretti & Dorra Hmaied, 2019.
"The Credit Default Swap market contagion during recent crises: international evidence,"
Review of Quantitative Finance and Accounting, Springer, vol. 53(1), pages 1-46, July.
- Saker Sabkha & Christian de Peretti & Dorra Hmaied, 2018. "The Credit Default Swap market contagion during recent crises: International evidence," Post-Print hal-01572510, HAL.
- Su, Xianfang, 2020. "Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Gemici, Eray & Gök, Remzi & Bouri, Elie, 2023. "Predictability of risk appetite in Turkey: Local versus global factors," Emerging Markets Review, Elsevier, vol. 55(C).
- Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Spillover effects in oil-related CDS markets during and after the sub-prime crisis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Laura Ballester & Ana Mónica Escrivá & Ana González-Urteaga, 2021. "The Nexus between Sovereign CDS and Stock Market Volatility: New Evidence," Mathematics, MDPI, vol. 9(11), pages 1-23, May.
- Muhammad Saifuddin Khan, 2018. "The Role of Liquidity in Financial Intermediation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2018, January-A.
- Tian, Shaonan & Yu, Yan, 2017. "Financial ratios and bankruptcy predictions: An international evidence," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 510-526.
- Feng, Qianqian & Sun, Xiaolei & Liu, Chang & Li, Jianping, 2021. "Spillovers between sovereign CDS and exchange rate markets: The role of market fear," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
- Sunal, Onur & Yağcı, Filiz, 2024. "The determinants of Turkish CDS volatility: An ARDL approach covering COVID period," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).
- Ozcan Ceylan, 2023. "Analysis of Dynamic Connectedness among Sovereign CDS Premia," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 9(1), pages 33-47, June.
- Huthaifa Sameeh Alqaralleh, 2024. "From volatility to stability: understanding the role of macroeconomic factors in sovereign CDS spreads," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(3), pages 665-707, September.
- Wu, Shan & Liu, Yilong & Song, Ziyu & Zhou, Yuqin & Guo, Wenjing, 2024. "Network structure, dynamic evolution and block characteristics of sovereign debt risk: The global evidence," Research in International Business and Finance, Elsevier, vol. 72(PA).
- Sabkha, Saker & de Peretti, Christian & Hmaied, Dorra, 2019. "Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach," Research in International Business and Finance, Elsevier, vol. 50(C), pages 106-133.
- Zaremba, Adam, 2019. "Cross-sectional seasonalities in international government bond returns," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 80-94.
- Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
- Pan, Wei-Fong & Wang, Xinjie & Xiao, Yaqing & Xu, Weike & Zhang, Jinfan, 2024. "The effect of economic and political uncertainty on sovereign CDS spreads," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 143-155.
- González-Fernández, Marcos & González-Velasco, Carmen, 2020. "A sentiment index to measure sovereign risk using Google data," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 406-418.
- Lotfi, Somayyeh & Milidonis, Andreas & Zenios, Stavros A., 2024. "Mispricing of debt expansion in the eurozone sovereign credit market," Journal of Financial Stability, Elsevier, vol. 70(C).