Information shares and market quality before and during the European sovereign debt crisis
VG Papavassiliou, H Kinateder - Journal of International Financial Markets …, 2021 - Elsevier
We investigate information shares in the price discovery process in the euro-area sovereign
bond market across the yield curve, during both calm and crisis periods. We employ a rich …
bond market across the yield curve, during both calm and crisis periods. We employ a rich …
Kredi temerrüt takası primlerinin oynaklığında uzun hafıza ve etkin piyasa hipotezi-fraktal piyasa hipotezi sınaması: Türkiye örneği
M Çevik, SS Karaca - Gaziantep University Journal of Social …, 2021 - dergipark.org.tr
Bu çalışmada, Türkiye'nin 2010–2020 dönemine ait ülke Kredi Temerrüt Takası Primlerinin
finansal zaman serisi olarak özellikleri araştırılmış, parametrik ve yarı parametrik ön testler …
finansal zaman serisi olarak özellikleri araştırılmış, parametrik ve yarı parametrik ön testler …
Investor behavior, stock returns and CDS spreads: evidence from foreign and domestic investors in Korea
Investor behavior, stock returns and CDS spreads: evidence from foreign and domestic
investors in Korea | Emerald Insight Books and journals Case studies Expert Briefings Open …
investors in Korea | Emerald Insight Books and journals Case studies Expert Briefings Open …
The Relative Role of Sovereign CDS and Bond Markets in Efficiently Pricing Emerging Market Sovereign Credit Risk
ZA Raja, WJ Procasky… - Journal of Emerging …, 2020 - journals.sagepub.com
Extant literature reports mixed findings on the relative efficiency of credit default swaps
(CDS) and bond markets in pricing emerging market sovereign credit risk. Using a more …
(CDS) and bond markets in pricing emerging market sovereign credit risk. Using a more …
Directed acyclic graph based information shares for price discovery
SM Zema - Journal of Economic Dynamics and Control, 2022 - Elsevier
The possibility to measure the contribution of agents and exchanges to the price formation
process in financial markets acquired increasing importance in the literature. In this paper I …
process in financial markets acquired increasing importance in the literature. In this paper I …
A non-Normal framework for price discovery: The independent component based information shares measure
SM Zema - 2023 - econstor.eu
I propose a new measure of price discovery, which I will refer to as the Independent
Component based Information Share (IC-IS). This measure constitutes a variant of the …
Component based Information Share (IC-IS). This measure constitutes a variant of the …
[PDF][PDF] Price Discovery in Indonesia Government Bond Market
B Wibowo - researchgate.net
The study investigate price discovery in Indonesia government bond market. Understanding
price discovery is a must to identify relevant factor affecting price of the asset. This research …
price discovery is a must to identify relevant factor affecting price of the asset. This research …
[PDF][PDF] Dynamic credit risk discovery and determinants of market leadership in sovereign CDS and bond markets
IG Kroustalis, DN Subeniotis - Journal of Administrative and …, 2021 - tafpublications.com
The global inancial crisis of 2007-09 and the recent debt crisis in the European Monetary
Union (EMU) have brought to the forefront of interest the sovereign credit risk of developed …
Union (EMU) have brought to the forefront of interest the sovereign credit risk of developed …