The effect of liquidity on the price discovery process in credit derivatives markets in times of financial distress
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- Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
- repec:taf:applec:v:49:y:2017:i:8:p:823-843 is not listed on IDEAS
- Arce, Oscar & Mayordomo, Sergio & Peña, Juan Ignacio, 2013.
"Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis,"
Journal of International Money and Finance,
Elsevier, vol. 35(C), pages 124-145.
- Ã“scar Arce & Sergio Mayordomo & Juan Ignacio PeÃ±a, 2012. "Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis," Faculty Working Papers 22/12, School of Economics and Business Administration, University of Navarra.
- Pavel Gertler & Roman Horvath, 2017. "Market Reading of Central Bankers Words. A High-Frequency Evidence," Working and Discussion Papers WP 2/2017, Research Department, National Bank of Slovakia.
- Grégory Levieuge, 2017.
"Explaining and forecasting bank loans. Good times and crisis,"
Taylor & Francis Journals, vol. 49(8), pages 823-843, February.
- G.Levieuge, 2015. "Explaining and forecasting bank loans. Good times and crisis," Working papers 566, Banque de France.
- Jacob Gyntelberg & Peter Hördahl & Kristyna Ters & Jörg Urban, 2013. "Intraday dynamics of euro area sovereign CDS and bonds," BIS Working Papers 423, Bank for International Settlements.
- Jacob Gyntelberg & Peter Hördahl & Kristyna Ters & Jörg Urban, 2017. "Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets," BIS Working Papers 631, Bank for International Settlements.
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