The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks?

作者: Frank Scrimgeour , Leon Li

DOI: 10.1515/SNDE-2019-0141

关键词:

摘要: … sovereign bonds and credit default swaps (CDS) and then examines the impact of CDS-… the time-varying transition probability (TVTP) in which the lagged CDS-bond deviation (ie, the …

参考文章(54)
Antonio Rubia, Lidia Sanchis-Marco, Pedro Serrano, Market frictions and the pricing of sovereign credit default swaps Journal of International Money and Finance. ,vol. 60, pp. 223- 252 ,(2016) , 10.1016/J.JIMONFIN.2015.04.006
Giorgia Palladini, Richard Portes, SOVEREIGN CDS AND BOND PRICING DYNAMICS IN THE EURO-AREA Social Science Research Network. ,(2011) , 10.3386/W17586
John Driffill, Changes in regime and the term structure : A note Journal of Economic Dynamics and Control. ,vol. 16, pp. 165- 173 ,(1992) , 10.1016/0165-1889(92)90012-4
John Ammer, Fang Cai, Sovereign CDS and bond pricing dynamics in emerging markets: Does the cheapest-to-deliver option matter? Journal of International Financial Markets, Institutions and Money. ,vol. 21, pp. 369- 387 ,(2011) , 10.1016/J.INTFIN.2011.01.001
Markus Jochmann, Gary Koop, Regime-Switching Cointegration Studies in Nonlinear Dynamics and Econometrics. ,vol. 19, pp. 35- 48 ,(2015) , 10.1515/SNDE-2012-0064
Jess B. Yawitz, The Relative Importance of Duration and Yield Volatility on Bond Price Volatility: Comment Journal of Money, Credit and Banking. ,vol. 9, pp. 97- 102 ,(1977) , 10.2307/1992003
Simón Sosvilla-Rivero, Amalia Morales-Zumaquero, Volatility in EMU sovereign bond yields: permanent and transitory components Applied Financial Economics. ,vol. 22, pp. 1453- 1464 ,(2012) , 10.1080/09603107.2012.661397
Latha Ramchand, Raul Susmel, Variances and covariances of international stock returns: the international capital asset pricing model revisited Journal of International Financial Markets, Institutions and Money. ,vol. 8, pp. 39- 57 ,(1998) , 10.1016/S1042-4431(98)00023-7