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Applied Economics Volume 46, 2014 - Issue 4
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Original Articles

Modelling the dependence structures of Australian iTraxx CDS index

Jean-pierre FenechDepartment of Accounting and Finance, Monash University, Caulfield East, 3145, AustraliaCorrespondence[email protected]
,
Hamed VosghaDepartment of Accounting and Finance, Monash University, Caulfield East, 3145, Australia
&
Salwa ShafikDepartment of Accounting and Finance, Monash University, Caulfield East, 3145, Australia
Pages 420-431 | Published online: 01 Nov 2013

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Read on this site (2)

Syed Jawad Hussain Shahzad, Román Ferrer, Shawkat Hammoudeh & Rania Jammazi. (2018) Industry-level determinants of the linkage between credit and stock markets. Applied Economics 50:49, pages 5277-5301.
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José Da Fonseca & Peiming Wang. (2016) A joint analysis of market indexes in credit default swap, volatility and stock markets. Applied Economics 48:19, pages 1767-1784.
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Articles from other publishers (4)

Maria Alberta Oliveira & Carlos Santos. (2022) Unveiling trading patterns: iTraxx Europe financials from the great financial crisis to ECB monetary easing. Banks and Bank Systems 17:3, pages 188-200.
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Syed Jawad Hussain Shahzad, Walid Mensi, Shawkat Hammoudeh, Mehmet Balcilar & Muhammad Shahbaz. (2018) Distribution specific dependence and causality between industry-level U.S. credit and stock markets. Journal of International Financial Markets, Institutions and Money 52, pages 114-133.
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Christopher L. Culp, Andria van der Merwe & Bettina J. StärkleChristopher L. Culp, Andria van der Merwe & Bettina J. Stärkle. 2018. Credit Default Swaps. Credit Default Swaps 219 248 .
Syed Jawad Hussain Shahzad, Safwan Mohd Nor, Nur Azura Sanusi & Ronald Ravinesh Kumar. (2017) The lead-lag relationship between US industry-level credit and stock markets. Journal of Economic Studies 44:4, pages 518-539.
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