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Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market

Citations

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Cited by:

  1. Frijns, Bart & Zwinkels, Remco C.J., 2020. "Absence of speculation in the European sovereign debt markets," Journal of Economic Behavior & Organization, Elsevier, vol. 169(C), pages 245-265.
  2. Xue-Zhong He & Youwei Li, 2017. "The adaptiveness in stock markets: testing the stylized facts in the DAX 30," Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1071-1094, November.
  3. Hommes, Cars & in ’t Veld, Daan, 2017. "Booms, busts and behavioural heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 101-124.
  4. António Afonso & João Tovar Jalles, 2020. "Economic volatility and sovereign yields’ determinants: a time-varying approach," Empirical Economics, Springer, vol. 58(2), pages 427-451, February.
  5. Alexander, Carol & Chen, Xi & Ward, Charles, 2021. "Risk-adjusted valuation for real option decisions," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1046-1064.
  6. Kim, Suk-Joong & Salem, Leith & Wu, Eliza, 2015. "The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China," Journal of Financial Stability, Elsevier, vol. 18(C), pages 208-224.
  7. Zhenxi Chen & Stefan Reitz, 2020. "Dynamics of the European sovereign bonds and the identification of crisis periods," Empirical Economics, Springer, vol. 58(6), pages 2761-2781, June.
  8. Tai, Chung-Ching & Chen, Shu-Heng & Yang, Lee-Xieng, 2018. "Cognitive ability and earnings performance: Evidence from double auction market experiments," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 409-440.
  9. Wang, Xinjie & Xiao, Yaqing & Yan, Hongjun & Zhang, Jinfan, 2021. "Under-reaction in the sovereign CDS market," Journal of Banking & Finance, Elsevier, vol. 130(C).
  10. ter Ellen, Saskia & Hommes, Cars H. & Zwinkels, Remco C.J., 2021. "Comparing behavioural heterogeneity across asset classes," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 747-769.
  11. Malliaropulos, Dimitris & Migiakis, Petros, 2018. "The re-pricing of sovereign risks following the Global Financial Crisis," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 39-56.
  12. Wu, Eliza & Erdem, Magdalena & Kalotychou, Elena & Remolona, Eli, 2016. "The anatomy of sovereign risk contagion," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 264-286.
  13. Ya-Chi Huang & Chueh-Yung Tsao, 2018. "Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 821-846, April.
  14. Fong, Tom Pak Wing & Li, Ka-Fai & Fu, John, 2018. "Accounting for sovereign tail risk in emerging economies: The role of global and domestic risk factors," Emerging Markets Review, Elsevier, vol. 34(C), pages 98-110.
  15. Cayon, Edgardo & Thorp, Susan & Wu, Eliza, 2018. "Immunity and infection: Emerging and developed market sovereign spreads over the Global Financial Crisis," Emerging Markets Review, Elsevier, vol. 34(C), pages 162-174.
  16. Kukacka, Jiri & Barunik, Jozef, 2017. "Estimation of financial agent-based models with simulated maximum likelihood," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 21-45.
  17. Houssam Bouzgarrou & Tarek Chebbi, 2016. "The reaction of sovereign CDS spread volatilities to news announcements," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 347-360, September.
  18. Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 38-51.
  19. Dimitris A. Georgoutsos & Petros M. Migiakis, 2025. "Sovereign bonds' risk‐based heterogeneity," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(3), pages 2108-2129, July.
  20. Zhong-Qiang Zhou & Jie Li & Wei Zhang & Xiong Xiong, 2022. "Government intervention model based on behavioral heterogeneity for China’s stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-19, December.
  21. Wang, Jun & Sun, Xiaolei & Li, Jianping, 2020. "How do sovereign credit default swap spreads behave under extreme oil price movements? Evidence from G7 and BRICS countries," Finance Research Letters, Elsevier, vol. 34(C).
  22. Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.
  23. Huthaifa Sameeh Alqaralleh, 2024. "From volatility to stability: understanding the role of macroeconomic factors in sovereign CDS spreads," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(3), pages 665-707, September.
  24. Giuseppe Ambrosini & Francesco Menoncin, 2018. "Optimal Portfolios with Credit Default Swaps," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(1), pages 81-109, August.
  25. Dimitris A. Georgoutsos & Petros M. Migiakis, 2018. "Risk perceptions and fundamental effects on sovereign spreads," Working Papers 250, Bank of Greece.
  26. 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.
  27. Saskia ter Ellen & Willem F. C. Verschoor, 2018. "Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence," Dynamic Modeling and Econometrics in Economics and Finance, in: Fredj Jawadi (ed.), Uncertainty, Expectations and Asset Price Dynamics, pages 53-79, Springer.
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