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Economic and Financial Determinants of Credit Risk Premiums in the Sovereign CDS Market
32/32 checkable references clean · checked 2026-08-18
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The 32 checked references that resolve
resolves10.1016/s0304-3932(03)00032-1
A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
resolves10.1016/j.jmoneco.2013.04.009
Systemic sovereign credit risk: Lessons from the U.S. and Europe
resolves10.1111/j.1540-6261.2005.00798.x
An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps
resolves10.1111/j.1540-6261.2010.01630.x
Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market
resolves10.1016/j.finmar.2010.01.002
The information content of option-implied volatility for credit default swap valuation
resolves10.1017/s0022109000002775
An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors
resolves10.1093/rfs/hhq007
Discrete-Time Affine<sup>ℚ</sup>Term Structure Models with Generalized Market Prices of Risk
resolves10.1093/rof/rfr015
Default Risk of Advanced Economies: An Empirical Analysis of Credit Default Swaps during the Financial Crisis
resolves10.1093/rof/rfq005
Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt
resolves10.1111/j.0960-1627.2005.00208.x
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
resolves10.1111/j.1540-6261.2005.00797.x
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market
resolves10.1111/j.1540-6261.1974.tb03058.x
ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
resolves10.1111/j.1540-6261.2008.01399.x
Default and Recovery Implicit in the Term Structure of Sovereign <i>CDS</i> Spreads
resolves10.1093/rfs/hhp004
Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms
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