Did the CDS Market Push up Risk Premia for Sovereign Credit?
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- Jorge M. Andraz & Cristina M. Viegas & Nélia M. Norte, 2016. "On the relationship between sovereign bonds and credit default swaps in Portugal," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 5(1), pages 18-36, March.
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More about this item
KeywordsGreek debt crisis; sovereign credit; CDS market; price discovery;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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