Article ID Journal Published Year Pages File Type
5089639 Journal of Banking & Finance 2012 9 Pages PDF
Abstract
► Analysis of determinants of daily spread changes for emerging market sovereign CDS. ► International risk premia are more relevant than domestic factors. ► US financial market returns are most dominant drivers of spread changes. ► Spreads are more strongly influenced by spillovers during periods of market stress.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Daily pricing of emerging market sovereign CDS before and during the global financial crisis
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