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Are CDS spreads predictable? An analysis of linear and non-linear forecasting models. (2014). Avino, Davide ; Nneji, Ogonna .
In: International Review of Financial Analysis.
RePEc:eee:finana:v:34:y:2014:i:c:p:262-274.

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  1. Modeling Corporate CDS Spreads Using Markov Switching Regressions. (2024). Roberto, Casarin ; Giacomo, Bulfone ; Ovielt, Baltodano Lopez ; Francesco, Ravazzolo.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:28:y:2024:i:2:p:271-292:n:5.

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  2. Fundamentals, real-time uncertainty and CDS index spreads. (2023). Wang, XU ; Audzeyeva, Alena.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01127-6.

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  3. Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model. (2021). Ravazzolo, Francesco ; Casarin, Roberto ; Bulfone, Giacomo.
    In: Working Paper series.
    RePEc:rim:rimwps:21-09.

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  4. Investigating Regime-Dependent Dynamics in Country Risk Premium: Evidence from Turkey and Emerging Markets. (2020). KAZDAL, Abdullah ; Yilmaz, Muhammed Hasan ; Bayram, Berat ; Akay, Mustafa.
    In: CBT Research Notes in Economics.
    RePEc:tcb:econot:2008.

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  5. Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka.
    In: Working Paper Series in Economics.
    RePEc:zbw:kitwps:123.

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  6. Persistence of shocks in CDS returns on Croatian bonds: Quantile autoregression approach. (2019). Bošnjak, Mile ; Bai, Maja ; Novak, Ivan ; Bonjak, Mile.
    In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics.
    RePEc:rfe:zbefri:v:37:y:2019:i:2:p:759-775.

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  7. On the informational market efficiency of the worldwide sovereign credit default swaps. (2019). Hmaied, Dorra ; Peretti, Christian ; Sabkha, Saker.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:20:y:2019:i:7:d:10.1057_s41260-019-00142-4.

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  8. Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach. (2019). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:50:y:2019:i:c:p:106-133.

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  9. Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:1:p:25-44.

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  10. Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models. (2018). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01769390.

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  11. Game changer? The impact of the VW emission-cheating scandal on the interrelation between large automakers’ equity and credit markets. (2018). Griffin, Paul A ; Lont, David H.
    In: Journal of Contemporary Accounting and Economics.
    RePEc:eee:jocaae:v:14:y:2018:i:2:p:179-196.

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  12. Predictability dynamics of emerging sovereign CDS markets. (2017). Sensoy, Ahmet ; Eraslan, Veysel ; Fabozzi, Frank J.
    In: Economics Letters.
    RePEc:eee:ecolet:v:161:y:2017:i:c:p:5-9.

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  13. Did the expectations channel work? Evidence from quantitative easing in Japan, 2001–06. (2016). Tsuji, Chikashi ; McMillan, David.
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:v:4:y:2016:i:1:p:1210996.

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  14. Measuring Connectedness of Euro Area Sovereign Risk. (2015). Schienle, Melanie ; Gatjen, Rebekka .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2015-019.

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  2. CDS and Stock Market: Panel Evidence Under Cross-Section Dependency. (2015). Zeren, Feyyaz ; Esen, Sinan ; Halil Şimdi, .
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  3. FINANCIAL MARKET REACTION TO CHANGES IN THE VOLATILITIES OF CDS RETURNS. (2015). Mușetescu, Radu ; Meghisan, Georgeta-Madalina ; Musetescu, Radu Cristian ; Hurduzeu, Gheorghe.
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  6. Short-term determinants of the idiosyncratic sovereign risk premium: A regime-dependent analysis for European credit default swaps. (2015). Vašíček, Bořek ; Vaiek, Boek ; trba, Filip ; Mio, Ronghui ; Calice, Giovanni .
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  7. Downgrades of sovereign credit ratings and impact on banks CDS spread: does disclosure by banks improve stability?. (2015). Refait-Alexandre, Catherine ; Guillemin, Franois .
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  8. The role of a changing market: Environment for credit default swap pricing. (2014). Reitz, Stefan ; Leppin, Julian.
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  10. Credit Default Swaps: A Survey. (2014). Tang, Dragon Yongjun ; Wang, Sarah Qian ; Augustin, Patrick ; Subrahmanyam, Marti G..
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  12. The euro area sovereign debt crisis: Can contagion spread from the periphery to the core?. (2014). Gorea, Denis ; Radev, Deyan .
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  14. Are CDS spreads predictable? An analysis of linear and non-linear forecasting models. (2014). Avino, Davide ; Nneji, Ogonna .
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  15. Short-term determinants of the idiosyncratic sovereign risk premium: a regime-dependent analysis for european credit default swaps. (2014). Vašíček, Bořek ; Vaiek, Boek ; Miao, RongHui ; Calice, Giovanni ; trba, Filip .
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  44. The reaction of emerging market credit default swap spreads to sovereign credit rating changes. (2010). Kazemi, Hossein ; Ismailescu, Iuliana.
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  45. Detecting Regime Shifts in Corporate Credit Spreads. (2009). Dionne, Georges ; Franois, Pascal ; Maalaoui, Olfa .
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  46. Credit Spread Changes within Switching Regimes. (2009). Dionne, Georges ; Maalaoui, Olfa ; Franois, Pascal.
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  47. Accounting-based versus market-based cross-sectional models of CDS spreads. (2009). Sarin, Atulya ; Das, Sanjiv ; Hanouna, Paul.
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  48. Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS. (2009). Pea, Juan Ignacio ; Forte, Santiago.
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  49. A semiparametric model for the systematic factors of portfolio credit risk premia. (2009). Giammarino, Flavia ; Barrieu, Pauline .
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    RePEc:eee:empfin:v:16:y:2009:i:4:p:655-670.

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  50. Time to buy or just buying time? The market reaction to bank rescue packages. (2009). King, Michael.
    In: BIS Working Papers.
    RePEc:bis:biswps:288.

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