The price discovery process in credit derivative market: evidence from sovereign CDS market
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- Patrick Augustin, 2012. "Sovereign Credit Default Swap Premia," Working Papers 12-10, New York University, Leonard N. Stern School of Business, Department of Economics.
- Wang, Alan T. & Yang, Sheng-Yung & Yang, Nien-Tzu, 2013. "Information transmission between sovereign debt CDS and other financial factors – The case of Latin America," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 586-601.
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Keywordsfinance; sovereign credit default swap; sovereign bonds; price discovery process; credit risk; credit derivatives; vector error correction model; bond markets.;
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