The sovereign credit default swap market: price discovery, volumes and links with banks' risk premia
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- Broto, Carmen & Pérez-Quirós, Gabriel, 2015.
"Disentangling contagion among sovereign CDS spreads during the European debt crisis,"
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More about this item
Keywordsannouncements; corporate sector; credit spread; CDS; government bond; limits to arbitrage; volumes;
- G00 - Financial Economics - - General - - - General
- G01 - Financial Economics - - General - - - Financial Crises
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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