IDEAS home Printed from https://ideas.repec.org/r/eee/intfin/v22y2012i1p1-15.html

The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Inoguchi, Masahiro, 2025. "The impact of global shocks on sovereign risk: Role of domestic factors," Economic Systems, Elsevier, vol. 49(2).
  2. Sang Hoon Kang & Ron McIver & Seong-Min Yoon, 2016. "Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(7), pages 1698-1723, July.
  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. Irfan Akbar Kazi & Suzanne Salloy, 2013. "Contagion effect due to Lehman Brothers’ bankruptcy and the global financial crisis - From the perspective of the Credit Default Swaps’ G14 dealers," EconomiX Working Papers 2013-6, University of Paris Nanterre, EconomiX.
  5. Evgenia Grigoryeva, 2021. "Determinants of Russia's Sovereign Risk," Russian Journal of Money and Finance, Bank of Russia, vol. 80(4), pages 74-97, December.
  6. Saker Sabkha & Christian Peretti & Dorra Hmaied, 2019. "The Credit Default Swap market contagion during recent crises: international evidence," Review of Quantitative Finance and Accounting, Springer, vol. 53(1), pages 1-46, July.
  7. M'beirick, Abdallahi & Haddou, Samira, 2024. "The asymmetric response of sovereign credit default swaps spreads to risk aversion, investor sentiment and monetary policy shocks," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 244-272.
  8. Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2016. "Intra-national and international spillovers between the real economy and the stock market: The case of China," The Journal of Economic Asymmetries, Elsevier, vol. 14(PA), pages 78-92.
  9. Dejan Šoškić, 2015. "Global Financial Reform Since 2008: Achievements and Shortcomings," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(3), pages 385-400, June.
  10. Niţoi, Mihai & Pochea, Maria Miruna, 2016. "Testing financial markets convergence in Central and Eastern Europe: A non-linear single factor model," Economic Systems, Elsevier, vol. 40(2), pages 323-334.
  11. Chau Le & Dickinson David, 2014. "Asset price volatility and financial contagion: analysis using the MS-VAR framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 133-162, December.
  12. Irfan Akbar Kazi & Suzanne Salloy, 2014. "Dynamics in the correlations of the Credit Default Swaps’ G14 dealers: Are there any contagion effects due to Lehman Brothers’ bankruptcy and the global financial crisis?," Working Papers 2014-237, Department of Research, Ipag Business School.
  13. Kenourgios, Dimitris & Naifar, Nader & Dimitriou, Dimitrios, 2016. "Islamic financial markets and global crises: Contagion or decoupling?," Economic Modelling, Elsevier, vol. 57(C), pages 36-46.
  14. Amstad, Marlene & Remolona, Eli & Shek, Jimmy, 2016. "How do global investors differentiate between sovereign risks? The new normal versus the old," Journal of International Money and Finance, Elsevier, vol. 66(C), pages 32-48.
  15. Roy, Rudra Prosad & Sinha Roy, Saikat, 2017. "Financial contagion and volatility spillover: An exploration into Indian commodity derivative market," Economic Modelling, Elsevier, vol. 67(C), pages 368-380.
  16. Saker Sabkha & Christian De Peretti & Dorra Hmaied, 2017. "The Credit Default Swap market contagion during recent crises: International evidence," Working Papers hal-01572510, HAL.
  17. Kuhanathan Ano Sujithan & Sanvi Avouyi-Dovi, 2013. "The links between some European financial factors and the BRICS credit default swap spreads," Post-Print hal-01511898, HAL.
  18. Ordu-Akkaya, Beyza Mina & Özyıldırım, Süheyla, 2025. "Commodity dependence: Providing information on emerging market CDS spreads when economic indicators are absent," Emerging Markets Review, Elsevier, vol. 67(C).
  19. repec:dau:papers:123456789/11721 is not listed on IDEAS
  20. Yang, Lu & Yang, Lei & Hamori, Shigeyuki, 2018. "Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 19-34.
  21. Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
  22. Gündüz, Yalin & Kaya, Orcun, 2014. "Impacts of the financial crisis on eurozone sovereign CDS spreads," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 425-442.
  23. Chuffart, Thomas & Hooper, Emma, 2019. "An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela," Energy Economics, Elsevier, vol. 80(C), pages 904-916.
  24. Atil, Ahmed & Bradford, Marc & Elmarzougui, Abdelaziz & Lahiani, Amine, 2016. "Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimation," Finance Research Letters, Elsevier, vol. 19(C), pages 42-53.
  25. Tomoe Moore & Ali Mirzaei, 2016. "The Impact of the Global Financial Crisis on Industry Growth," Manchester School, University of Manchester, vol. 84(2), pages 159-180, March.
  26. Le, Chau & Dickinson, David & Le, Anh, 2022. "Sovereign risk spillovers: A network approach," Journal of Financial Stability, Elsevier, vol. 60(C).
  27. Lee, Hyunchul & Kim, Hyunseok, 2024. "Time-varying co-movement of sovereign credit default swaps markets: Evidence from Asia-Pacific countries," Finance Research Letters, Elsevier, vol. 69(PB).
  28. Sunal, Onur & Yağcı, Filiz, 2024. "The determinants of Turkish CDS volatility: An ARDL approach covering COVID period," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).
  29. Moloney, Kitty & Killeen, Neill & Gilvarry, Oliver, 2014. "A Fragmentation Indicator for Euro Area Sovereign Bond Markets," Economic Letters 11/EL/14, Central Bank of Ireland.
  30. Go Tamakoshi & Shigeyuki Hamori, 2013. "An asymmetric DCC analysis of correlations among bank CDS indices," Applied Financial Economics, Taylor & Francis Journals, vol. 23(6), pages 475-481, March.
  31. Patrick Augustin, 2012. "Sovereign Credit Default Swap Premia," Working Papers 12-10, New York University, Leonard N. Stern School of Business, Department of Economics.
  32. Elena, Radu (Grigorie), 2022. "Financial Stability, The Objective Of Development Financial Markets," Management Strategies Journal, Constantin Brancoveanu University, vol. 55(1), pages 144-149.
  33. Ana Escribano & Cristina Íñiguez, 2021. "The contagion phenomena of the Brexit process on main stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4462-4481, July.
  34. Kenourgios, Dimitris, 2014. "On financial contagion and implied market volatility," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 21-30.
  35. Kräussl, Roman & Lehnert, Thorsten & Stefanova, Denitsa, 2016. "The European sovereign debt crisis: What have we learned?," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 363-373.
  36. Maria E. de Boyrie & Ivelina Pavlova, 2016. "Dynamic interdependence of sovereign credit default swaps in BRICS and MIST countries," Applied Economics, Taylor & Francis Journals, vol. 48(7), pages 563-575, February.
  37. Mollah, Sabur & Quoreshi, A.M.M. Shahiduzzaman & Zafirov, Goran, 2016. "Equity market contagion during global financial and Eurozone crises: Evidence from a dynamic correlation analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 151-167.
  38. Dimitris Kenourgios & Dimitrios Dimitriou & Aristeidis Samitas, 2018. "Global Crises and Contagion: Does the Capitalization Size Matter?," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 64(1), pages 39-57.
  39. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "Spillovers among CDS indexes in the US financial sector," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 104-113.
  40. Pawan Kumar & Vipul Kumar Singh, 2025. "Quadrant categorization of spillover determinants of sovereign risk of BRICIT nations: a Bayesian approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-22, December.
  41. Burzala, Milda Maria, 2016. "Contagion effects in selected European capital markets during the financial crisis of 2007–2009," Research in International Business and Finance, Elsevier, vol. 37(C), pages 556-571.
  42. Manuel Buchholz & Lena Tonzer, 2016. "Sovereign Credit Risk Co-Movements in the Eurozone: Simple Interdependence or Contagion?," International Finance, Wiley Blackwell, vol. 19(3), pages 246-268, December.
  43. Das, Suman & Roy, Saikat Sinha, 2023. "Following the leaders? A study of co-movement and volatility spillover in BRICS currencies," Economic Systems, Elsevier, vol. 47(2).
  44. Blau, Benjamin M. & Roseman, Brian S., 2014. "The reaction of European credit default swap spreads to the U.S. credit rating downgrade," International Review of Economics & Finance, Elsevier, vol. 34(C), pages 131-141.
  45. 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.
  46. Zhang, Wenlong & Zhang, Gaiyan & Helwege, Jean, 2022. "Cross country linkages and transmission of sovereign risk: Evidence from China’s credit default swaps," Journal of Financial Stability, Elsevier, vol. 58(C).
  47. Dimitris Kenourgios & Dimitrios Dimitriou, 2014. "Contagion Effects of the Global Financial Crisis in US and European Real Economy Sectors," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 61(3), pages 275-288, June.
  48. Arnold, Ivo J.M. & Soederhuizen, Beau, 2018. "Bank stability and refinancing operations during the crisis: Which way causality?," Research in International Business and Finance, Elsevier, vol. 43(C), pages 79-89.
  49. Asandului, Mircea & Lupu, Dan & Mursa, Gabriel Claudiu & Muşetescu, Radu, 2015. "Dynamic relations between CDS and stock markets in Eastern European countries," MPRA Paper 95506, University Library of Munich, Germany.
  50. Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
  51. Bostanci, Gorkem & Yilmaz, Kamil, 2020. "How connected is the global sovereign credit risk network?," Journal of Banking & Finance, Elsevier, vol. 113(C).
  52. Mensi, Walid & Gemici, Eray & Polat, Müslüm & Kang, Sang Hoon, 2025. "Markov switching volatility connectedness across international CDS markets," International Review of Economics & Finance, Elsevier, vol. 98(C).
  53. Ren, Yi-Shuai & Klein, Tony & Jiang, Yong, 2025. "Unveiling the asymmetric dynamic spillovers in industry bond credit risk: Is the energy industry the prime mover?," International Review of Financial Analysis, Elsevier, vol. 101(C).
  54. Nader Naifar, 2020. "What Explains the Sovereign Credit Default Swap Spreads Changes in the GCC Region?," JRFM, MDPI, vol. 13(10), pages 1-22, October.
  55. Huang, MeiChi & Wu, Chu-Hua & Cheng, I-Shan, 2021. "A truly global crisis? Evidence from contagion dependence across international REIT markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  56. Xun Huang & Fanyong Guo, 2021. "A kernel fuzzy twin SVM model for early warning systems of extreme financial risks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1459-1468, January.
  57. Naifar, Nader & Shahzad, Syed Jawad Hussain, 2022. "Tail event-based sovereign credit risk transmission network during COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 45(C).
  58. Alturki,Sultan Abdulaziz M & Hibbert,Ann Marie, 2021. "The Impact of Oil Shocks on Sovereign Default Risk," Policy Research Working Paper Series 9546, The World Bank.
  59. Miroslav Mateev, 2019. "Volatility relation between credit default swap and stock market: new empirical tests," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 681-712, October.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.