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Original Articles

The causal relationships between sovereign CDS premiums for Japan and selected EU countries

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Pages 742-747 | Published online: 22 Nov 2012

References

  • Adler , M. and Song , J. 2010 . The behavior of emerging market sovereigns’ credit default swap premiums and bond yield spreads . International Journal of Finance and Economics , 15 : 31 – 58 .
  • Cheung , Y. W. and Ng , L. K. 1996 . A causality-in-variance test and its applications to financial market prices . Journal of Econometrics , 72 : 33 – 48 .
  • Hong , Y. 2001 . A test for volatility spillover with application to exchange rate . Journal of Econometrics , 103 : 183 – 224 .
  • Ismailescu , I. and Kazemi , H. 2010 . The reaction of emerging market credit default swap premiums to sovereign credit rating changes . Journal of Banking & Finance , 34 : 2861 – 73 .
  • Li , N. and Huang , A. Y. 2011 . Price discovery between sovereign credit default swaps and bond yield premiums of emerging markets . Journal of Emerging Market Finance , 10 : 197 – 225 .

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