The interactions and trade-offs of sovereign Credit Default SWAP (CDS) and bond spreads in a dynamic context

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 the global financial crisis to the latest developments of t...

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Autors principals:	Ioannis A. Tampakoudis, Andrius Tamošiūnas, Demetres N. Subeniotis, Ioannis G. Kroustalis
Format:	Artigo
Idioma:	Inglês
Publicat:	Vilnius Gediminas Technical University 2019-04-01
Col·lecció:	Journal of Business Economics and Management
Matèries:	credit risk CDS sovereign bonds debt crisis cointegration Granger causality
Accés en línia:	https://journals.vgtu.lt/index.php/JBEM/article/view/9759
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