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Davide Avino

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First Name:Davide
Middle Name:
Last Name:Avino
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RePEc Short-ID:pav37
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Affiliation

Management School
University of Liverpool

Liverpool, United Kingdom
http://www.liverpool.ac.uk/management/

0151 795 3108
0151 795 3004
Chatham Street, Liverpool, L69 7ZH
RePEc:edi:mslivuk (more details at EDIRC)

Research output

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Jump to: Working papers Articles

Working papers

  1. Jie Chen & Woon Sau Leung & Wei Song & Davide Avino, 2018. "Does CDS trading affect risk-taking incentives in managerial compensation?," Working Papers 2018-19, Swansea University, School of Management.
  2. Davide Avino & Thomas Conlon & John Cotter, 2016. "Credit Default Swaps as Indicators of Bank financial Distress," Working Papers 201601, Geary Institute, University College Dublin.
  3. Avino, Davide & Cotter, John, 2014. "Sovereign and bank CDS spreads: two sides of the same coin?," MPRA Paper 55208, University Library of Munich, Germany.
  4. Avino, Davide & Cotter, John, 2013. "Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?," MPRA Paper 56782, University Library of Munich, Germany.
  5. Avino, Davide & Lazar, Emese & Varotto, Simone, 2012. "Price Discovery of Credit Spreads in Tranquil and Crisis Periods," MPRA Paper 42847, University Library of Munich, Germany.
  6. Avino, Davide & Nneji, Ogonna, 2012. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," MPRA Paper 42848, University Library of Munich, Germany.
  7. Avino, Davide & Lazar, Emese, 2012. "Rethinking Capital Structure Arbitrage," MPRA Paper 42850, University Library of Munich, Germany.
  8. Avino, Davide & Lazar, Emese & Varotto, Simone, 2012. "Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options," MPRA Paper 56781, University Library of Munich, Germany.

Articles

  1. Avino, Davide E. & Conlon, Thomas & Cotter, John, 2019. "Credit default swaps as indicators of bank financial distress," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 132-139.
  2. Avino, Davide & Lazar, Emese & Varotto, Simone, 2015. "Time varying price discovery," Economics Letters, Elsevier, vol. 126(C), pages 18-21.
  3. Avino, Davide & Nneji, Ogonna, 2014. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 262-274.
  4. Avino, Davide & Cotter, John, 2014. "Sovereign and bank CDS spreads: Two sides of the same coin?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 72-85.
  5. Avino, Davide & Lazar, Emese & Varotto, Simone, 2013. "Price discovery of credit spreads in tranquil and crisis periods," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 242-253.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jie Chen & Woon Sau Leung & Wei Song & Davide Avino, 2018. "Does CDS trading affect risk-taking incentives in managerial compensation?," Working Papers 2018-19, Swansea University, School of Management.

    Cited by:

    1. Jongsub Lee & Junho Oh & David Yermack, 2017. "Credit Default Swaps, Agency Problems, and Management Incentives," NBER Working Papers 24064, National Bureau of Economic Research, Inc.

  2. Davide Avino & Thomas Conlon & John Cotter, 2016. "Credit Default Swaps as Indicators of Bank financial Distress," Working Papers 201601, Geary Institute, University College Dublin.

    Cited by:

    1. Mariana Spatareanu & Vlad Manole & Ali Kabiri, 2016. "Exports and Bank Shocks: Evidence from Matched Firm-Bank Data," Working Papers Rutgers University, Newark 2016-005, Department of Economics, Rutgers University, Newark.
    2. Spatareanu, Mariana & Manole, Vlad & Kabiri, Ali, 2018. "Exports and bank shocks: evidence from matched firm-bank data," LSE Research Online Documents on Economics 89982, London School of Economics and Political Science, LSE Library.
    3. Manthoulis, Georgios & Doumpos, Michalis & Zopounidis, Constantin & Galariotis, Emilios, 2020. "An ordinal classification framework for bank failure prediction: Methodology and empirical evidence for US banks," European Journal of Operational Research, Elsevier, vol. 282(2), pages 786-801.
    4. Conlon, Thomas & Cotter, John & Molyneux, Philip, 2020. "Beyond common equity: The influence of secondary capital on bank insolvency risk," Journal of Financial Stability, Elsevier, vol. 47(C).

  3. Avino, Davide & Cotter, John, 2014. "Sovereign and bank CDS spreads: two sides of the same coin?," MPRA Paper 55208, University Library of Munich, Germany.

    Cited by:

    1. 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).
    2. Neele Balke, 2018. "The Employment Cost of Sovereign Default," 2018 Meeting Papers 1256, Society for Economic Dynamics.
    3. Foglia, Matteo & Angelini, Eliana, 2020. "The diabolical sovereigns/banks risk loop: A VAR quantile design," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    4. Delatte, Anne-Laure & Fouquau, Julien & Portes, Richard, 2016. "Regime-dependent sovereign risk pricing during the euro crisis," ESRB Working Paper Series 9, European Systemic Risk Board.
    5. 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.
    6. Lakdawala, Aeimit & Minetti, Raoul & Olivero, María Pía, 2018. "Interbank markets and bank bailout policies amid a sovereign debt crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 131-153.
    7. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2017. "Sovereign default risk linkage: Implication for portfolio diversification," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 1-16.
    8. González-Fernández, Marcos & González-Velasco, Carmen, 2020. "An alternative approach to predicting bank credit risk in Europe with Google data," Finance Research Letters, Elsevier, vol. 35(C).
    9. Murad A.Bein & Gulcay TUNA, 2015. "Volatility Transmission and Dynamic Correlation Analysis between Developed and Emerging European Stock Markets during Sovereign Debt Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 61-80, June.
    10. Damien Wallace & Petko S. Kalev & Guanhua Lian, 2019. "The evolution of price discovery in us equity and derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1122-1136, September.
    11. Syed Jawad Hussain Shahzad & Elie Bouri & Jose Arreola-Hernandez & David Roubaud & Stelios Bekiros, 2019. "Spillover across Eurozone credit market sectors and determinants," Applied Economics, Taylor & Francis Journals, vol. 51(59), pages 6333-6349, December.
    12. Bijlsma, Melle & Vermeulen, Robert, 2016. "Insurance companies’ trading behaviour during the European sovereign debt crisis: Flight home or flight to quality?," Journal of Financial Stability, Elsevier, vol. 27(C), pages 137-154.
    13. Roumeen Islam, 2017. "Growth after Crisis in Europe: An Interdependence of Macroeconomic and Structural Policies," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 11(2), pages 19-62, December.
    14. Davide Avino & Thomas Conlon & John Cotter, 2016. "Credit Default Swaps as Indicators of Bank financial Distress," Working Papers 201601, Geary Institute, University College Dublin.
    15. Michele Anelli & Michele Patanè & Mario Toscano & Stefano Zedda, 2020. "The Role of Redenomination Risk in the Price Evolution of Italian Banks’ CDS Spreads," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 13(7), pages 1-17, July.
    16. Koutmos, Dimitrios, 2019. "Asset pricing factors and bank CDS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 19-41.
    17. Caihong Xu & Dong Zhang, 2019. "Market openness and market quality in gold markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 384-401, March.
    18. Keddad, Benjamin & Schalck, Christophe, 2020. "Evaluating sovereign risk spillovers on domestic banks during the European debt crisis," Economic Modelling, Elsevier, vol. 88(C), pages 356-375.
    19. Alberto Dreassi & Stefano Miani & Andrea Paltrinieri & Alex Sclip, 2018. "Bank-Insurance Risk Spillovers: Evidence from Europe," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 43(1), pages 72-96, January.
    20. Gabriella Chiesa, 2020. "Safe Assets, Credit Provision and Debt Management," Open Economies Review, Springer, vol. 31(3), pages 637-667, July.
    21. Bratis, Theodoros & Laopodis, Nikiforos T. & Kouretas, Georgios P., 2020. "Systemic risk and financial stability dynamics during the Eurozone debt crisis," Journal of Financial Stability, Elsevier, vol. 47(C).

  4. Avino, Davide & Cotter, John, 2013. "Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?," MPRA Paper 56782, University Library of Munich, Germany.

    Cited by:

    1. Alsakka, Rasha & ap Gwilym, Owain & Vu, Tuyet Nhung, 2014. "The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 235-257.

  5. Avino, Davide & Lazar, Emese & Varotto, Simone, 2012. "Price Discovery of Credit Spreads in Tranquil and Crisis Periods," MPRA Paper 42847, University Library of Munich, Germany.

    Cited by:

    1. Narayan, Paresh Kumar, 2015. "An analysis of sectoral equity and CDS spreads," Working Papers fe_2015_02, Deakin University, Department of Economics.
    2. Jitmaneeroj, Boonlert, 2018. "Is Thailand’s credit default swap market linked to bond and stock markets? Evidence from the term structure of credit spreads," Research in International Business and Finance, Elsevier, vol. 46(C), pages 324-341.
    3. Griffin, Paul A. & Lont, David H., 2018. "Game changer? The impact of the VW emission-cheating scandal on the interrelation between large automakers’ equity and credit markets," Journal of Contemporary Accounting and Economics, Elsevier, vol. 14(2), pages 179-196.
    4. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Hammoudeh, Shawkat & Shahbaz, Muhammad, 2017. "Directional and bidirectional causality between U.S. industry credit and stock markets and their determinants," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 46-61.
    5. Avino, Davide & Lazar, Emese & Varotto, Simone, 2015. "Time varying price discovery," Economics Letters, Elsevier, vol. 126(C), pages 18-21.
    6. Seema Narayan & Russell Smyth, 2015. "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers 06-15, Monash University, Department of Economics.
    7. Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C., 2014. "Corporate yield spreads and real interest rates," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 89-100.
    8. Gehde-Trapp, Monika & Gündüz, Yalin & Nasev, Julia, 2015. "The liquidity premium in CDS transaction prices: Do frictions matter?," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 184-205.
    9. Tran, Vu & Alsakka, Rasha & ap Gwilym, Owain, 2014. "Sovereign rating actions and the implied volatility of stock index options," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 101-113.
    10. Shahzad, Syed Jawad Hussain & Mensi, Walid & Hammoudeh, Shawkat & Balcilar, Mehmet & Shahbaz, Muhammad, 2018. "Distribution specific dependence and causality between industry-level U.S. credit and stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 114-133.
    11. Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori, 2011. "The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps," LSF Research Working Paper Series 11-13, Luxembourg School of Finance, University of Luxembourg.

  6. Avino, Davide & Nneji, Ogonna, 2012. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," MPRA Paper 42848, University Library of Munich, Germany.

    Cited by:

    1. Saker Sabkha & Christian Peretti & Dorra Hmaied, 2019. "On the informational market efficiency of the worldwide sovereign credit default swaps," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 581-608, December.
    2. Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," International Journal of Forecasting, Elsevier, vol. 35(1), pages 25-44.
    3. Sensoy, Ahmet & Fabozzi, Frank J. & Eraslan, Veysel, 2017. "Predictability dynamics of emerging sovereign CDS markets," Economics Letters, Elsevier, vol. 161(C), pages 5-9.
    4. Griffin, Paul A. & Lont, David H., 2018. "Game changer? The impact of the VW emission-cheating scandal on the interrelation between large automakers’ equity and credit markets," Journal of Contemporary Accounting and Economics, Elsevier, vol. 14(2), pages 179-196.
    5. Chikashi Tsuji, 2016. "Did the expectations channel work? Evidence from quantitative easing in Japan, 2001–06," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1210996-121, December.
    6. Mustafa Akay & Berat Bayram & Abdullah Kazdal & Muhammed Hasan Yilmaz, 2020. "Investigating Regime-Dependent Dynamics in Country Risk Premium: Evidence from Turkey and Emerging Markets," CBT Research Notes in Economics 2008, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    7. 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.

  7. Avino, Davide & Lazar, Emese, 2012. "Rethinking Capital Structure Arbitrage," MPRA Paper 42850, University Library of Munich, Germany.

    Cited by:

    1. Robert Goldberg, 2015. "A methodology for computing and comparing implied equity and corporate-debt Sharpe Ratios," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 733-754, May.
    2. Byström, Hans, 2013. "Stock Prices and Stock Return Volatilities Implied by the Credit Market," Working Papers 2013:25, Lund University, Department of Economics, revised 14 Feb 2014.

  8. Avino, Davide & Lazar, Emese & Varotto, Simone, 2012. "Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options," MPRA Paper 56781, University Library of Munich, Germany.

    Cited by:

    1. Abid, Ilyes & Dhaoui, Abderrazak & Goutte, Stéphane & Guesmi, Khaled, 2019. "Contagion and bond pricing: The case of the ASEAN region," Research in International Business and Finance, Elsevier, vol. 47(C), pages 371-385.
    2. Mariya Paskaleva & Ani Stoitsova-Stoykova, 2017. "Linkages and Efficiency Between iTraxx Europe and Financial Market Dynamics in South-East Europe Capital Markets in Post-crisis Period," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 172-179.

Articles

  1. Avino, Davide E. & Conlon, Thomas & Cotter, John, 2019. "Credit default swaps as indicators of bank financial distress," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 132-139.
    See citations under working paper version above.
  2. Avino, Davide & Lazar, Emese & Varotto, Simone, 2015. "Time varying price discovery," Economics Letters, Elsevier, vol. 126(C), pages 18-21.

    Cited by:

    1. Ivan Indriawan & Feng Jiao & Yiuman Tse, 2019. "The impact of the US stock market opening on price discovery of government bond futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 779-802, July.
    2. Massimo Guidolin & Manuela Pedio & Alessandra tosi, 2019. "Time-Varying Price Discovery in Sovereign Credit Markets," BAFFI CAREFIN Working Papers 19120, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Yang Hu & Yang (Greg) Hou & Les Oxley, 2019. "Spot and Futures Prices of Bitcoin: Causality, Cointegration and Price Discovery from a Time-Varying Perspective," Working Papers in Economics 19/13, University of Waikato.
    4. Griffin, Paul A. & Lont, David H., 2018. "Game changer? The impact of the VW emission-cheating scandal on the interrelation between large automakers’ equity and credit markets," Journal of Contemporary Accounting and Economics, Elsevier, vol. 14(2), pages 179-196.
    5. Hou, Yang & Li, Steven & Wen, Fenghua, 2019. "Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach," Energy Economics, Elsevier, vol. 83(C), pages 119-143.
    6. Hou, Yang & Nartea, Gilbert, 2017. "Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash," MPRA Paper 81995, University Library of Munich, Germany.
    7. Bohl, Martin T. & Gross, Christian & Souza, Waldemar, 2019. "The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 203-215.
    8. Hu, Yang & Hou, Yang Greg & Oxley, Les, 2020. "What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?," International Review of Financial Analysis, Elsevier, vol. 72(C).
    9. Seema Narayan & Russell Smyth, 2015. "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers 06-15, Monash University, Department of Economics.
    10. Hou, Yang & Li, Steven, 2017. "Time-Varying Price Discovery and Autoregressive Loading Factors: Evidence from S&P 500 Cash and E-Mini Futures Markets," MPRA Paper 81999, University Library of Munich, Germany.
    11. Donald Lien & Zijun Wang, 2019. "Quantile information share," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 38-55, January.

  3. Avino, Davide & Nneji, Ogonna, 2014. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 262-274.
    See citations under working paper version above.
  4. Avino, Davide & Cotter, John, 2014. "Sovereign and bank CDS spreads: Two sides of the same coin?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 72-85.
    See citations under working paper version above.
  5. Avino, Davide & Lazar, Emese & Varotto, Simone, 2013. "Price discovery of credit spreads in tranquil and crisis periods," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 242-253.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (3) 2014-06-28 2016-01-18 2018-03-19. Author is listed
  2. NEP-FMK: Financial Markets (3) 2012-12-10 2014-06-28 2018-03-19. Author is listed
  3. NEP-CFN: Corporate Finance (2) 2014-06-28 2018-03-19. Author is listed
  4. NEP-RMG: Risk Management (2) 2012-12-10 2014-06-28. Author is listed
  5. NEP-ACC: Accounting & Auditing (1) 2016-01-18
  6. NEP-EEC: European Economics (1) 2014-04-18
  7. NEP-FOR: Forecasting (1) 2012-12-10
  8. NEP-MST: Market Microstructure (1) 2012-12-10
  9. NEP-OPM: Open Economy Macroeconomics (1) 2014-06-28
  10. NEP-ORE: Operations Research (1) 2012-12-10

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