THE INTERACTIONS AND TRADE-OFFS OF SOVEREIGN CREDIT DEFAULT SWAP (CDS) AND BOND SPREADS IN A DYNAMIC CONTEXT
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DOI: 10.3846/jbem.2019.9759
Abstract: This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and bond spreads of the highly indebted southern European countries, considering an extensive time sample from the period before… read more here.
Keywords: bond spreads; cds bond; bond; sovereign credit ... See more keywords