Asymmetric and nonlinear dynamics in sovereign credit risk markets
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DOI: 10.1002/fut.21896
Abstract: We employ asymmetric and nonlinear error correction models to characterize the price discovery and volatility interactions between the sovereign CDS and bond spreads for 22 reference entities. We find asymmetric, nonlinear, and bidirectional short and… read more here.
Keywords: dynamics sovereign; markets asymmetric; credit risk; nonlinear dynamics ... See more keywords
The dynamics of sovereign yields over swap rates in the Eurozone market
Sign Up to like & getrecommendations! Published in 2020 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2020.101578
Abstract: We explore the dynamics of the adjusted swap spread (calculated as the difference between the swap rate and sovereign yields over the credit default swap premium) in the Eurozone market by studying three markets simultaneously:… read more here.
Keywords: swap; dynamics sovereign; eurozone market; swap rates ... See more keywords