Contagion of fear: Is the impact of COVID‐19 on sovereign risk really indiscriminate?
S Cevik, B Öztürkkal - International Finance, 2021 - Wiley Online Library
This paper investigates the impact of infectious diseases on the evolution of sovereign credit
default swap (CDS) spreads for a panel of 77 countries. Using annual data over 2004–2020 …
default swap (CDS) spreads for a panel of 77 countries. Using annual data over 2004–2020 …
Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries
We investigate the time-varying dependence structures between G7 and BRICS countries'
sovereign credit default swap (CDS) spreads for different timescales by combining wavelet …
sovereign credit default swap (CDS) spreads for different timescales by combining wavelet …
Assessing the asymmetric interrelationships between sovereign bond yields and selected potential determinants: The case of frontier WAMZ economies
The spot of frontier market economies in the global financial arena continues to be
significant for many market participants because of their size, diversification advantage, and …
significant for many market participants because of their size, diversification advantage, and …
Directional and bidirectional causality between US industry credit and stock markets and their determinants
We examine the causal links between US industry-wise credits and stock markets. The full
sample bootstrap Granger causality results show that all stock markets Granger cause their …
sample bootstrap Granger causality results show that all stock markets Granger cause their …
[HTML][HTML] Markov switching volatility connectedness across international CDS markets
We analyze the interconnectedness of sovereign CDS premiums to assess risk spillovers
over the period from April 9, 2015, to April 1, 2024, which includes major volatility episodes …
over the period from April 9, 2015, to April 1, 2024, which includes major volatility episodes …
On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting
This study uses a comprehensive data set of 11 sector indices of the S&P500 and some
financial variables to study their dynamic interaction with industry credit default swaps …
financial variables to study their dynamic interaction with industry credit default swaps …
Determinants of sovereign credit risk: The case of Russia
M Stolbov - Post-Communist Economies, 2017 - Taylor & Francis
The article analyses external and domestic determinants of Russian sovereign credit risk
from January 2001 to May 2015. The analysis is conducted in a time series framework …
from January 2001 to May 2015. The analysis is conducted in a time series framework …
Sovereign credit default swap (CDS) spreads changes in various economic conjunctures: evidence from Turkey by machine learning algorithms
The study aims to define the sources of Turkey's sovereign CDS spread changes to develop
policies that stabilize CDS spreads since they have a volatile and increasing trend …
policies that stabilize CDS spreads since they have a volatile and increasing trend …
[HTML][HTML] Impact of international and local conditions on sovereign bond spreads: International evidence
This paper examines the effect of international and domestic factors on the sovereign bond
spreads for 22 developed countries in North America, Europe and Pacific Rim regions. First …
spreads for 22 developed countries in North America, Europe and Pacific Rim regions. First …
Determinants of sovereign credit default swap (CDS) spreads in emerging countries: evidence from Turkey
Turkey faces increasing CDS (Credit Default Swap) spreads. The level of CDS spreads
shows the riskiness of a country in terms of credit default and countries can't attract high …
shows the riskiness of a country in terms of credit default and countries can't attract high …