Intraday dynamics of euro area sovereign CDS and bonds
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Citations
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Cited by:
- Kocsis, Zalan & Monostori, Zoltan, 2016. "The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences," Emerging Markets Review, Elsevier, vol. 27(C), pages 140-168.
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"Informed trading in parallel bond markets,"
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- Paiardini, Paola, 2009. "Informed Trading in Parallel Bond Markets," Economics & Statistics Discussion Papers esdp09053, University of Molise, Dept. EGSeI.
- Peat, Maurice & Svec, Jiri & Wang, Jue, 2015. "The effects of fiscal opacity on sovereign credit spreads," Emerging Markets Review, Elsevier, vol. 24(C), pages 34-45.
- Rubia, Antonio & Sanchis-Marco, Lidia & Serrano, Pedro, 2016. "Market frictions and the pricing of sovereign credit default swaps," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 223-252.
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- Massimo Ferrari & Kristyna Ters, 2017. "The benefits of using large high frequency financial datasets for empirical analyses: Two applied cases," IFC Bulletins chapters,in: Bank for International Settlements (ed.), Statistical implications of the new financial landscape, volume 43 Bank for International Settlements.
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"The equity-like behaviour of sovereign bonds,"
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- Deininger, Sebastian & Maringer, Dietmar, 2017. "Channels of Sovereign Risk Spillovers and Investment in the Manufacturing Sector," Working papers 2017/07, Faculty of Business and Economics - University of Basel.
- Lubos Komarek & Kristyna Ters & Jorg Urban, 2016.
"Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion,"
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2016/04, Czech National Bank, Research Department.
- Lubos Komarek & Kristyna Ters, 2016. "Intraday dynamics of euro area sovereign credit risk contagion," BIS Working Papers 573, Bank for International Settlements.
More about this item
Keywords
Sovereign credit risk; credit default swaps; price discovery; intraday;NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2013-09-24 (All new papers)
- NEP-EEC-2013-09-24 (European Economics)
- NEP-FMK-2013-09-24 (Financial Markets)
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