FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3124063615> ?p ?o ?g. }

• W3124063615 endingPage "29" @default.
• W3124063615 startingPage "18" @default.
• W3124063615 abstract "We examine risk factors that explain daily changes in aggregate credit default swap (CDS) spreads before, during and after the 2007–2009 financial crisis. Based on the European iTraxx CDS index universe, we document time-variation in the significance of spread determinants. Before and after the crisis, spread changes are mainly determined by stock returns and implied stock market volatility. Global financial variables possess explanatory power during the pre-crisis and the crisis period. Liquidity proxy variables are significantly related to spread changes for financials, while unrelated for non-financials. Examination of the risk factors' explanatory power for large spread changes reveals weakened significance indicating that additional factors are necessary for their explanation. Finally, we examine the lead–lag relationship between spread changes and stock returns. Stock market returns lead spread changes during the crisis period, while a bidirectional relationship emerges after the crisis period. This suggests that aggregate spread changes are actually informative for equity market participants, possibly measuring systemic risk." @default.
• W3124063615 created "2021-02-01" @default.
• W3124063615 creator A5025501683 @default.
• W3124063615 creator A5084381733 @default.
• W3124063615 date "2012-04-01" @default.
• W3124063615 modified "2023-09-26" @default.
• W3124063615 title "Explaining aggregate credit default swap spreads" @default.
• W3124063615 cites W1500470240 @default.
• W3124063615 cites W1984536024 @default.
• W3124063615 cites W1989292978 @default.
• W3124063615 cites W2127169188 @default.
• W3124063615 cites W2140489921 @default.
• W3124063615 cites W2148736622 @default.
• W3124063615 cites W3121401171 @default.
• W3124063615 cites W3122403692 @default.
• W3124063615 cites W3122772066 @default.
• W3124063615 cites W3123097597 @default.
• W3124063615 cites W3124530085 @default.
• W3124063615 cites W3125622265 @default.
• W3124063615 cites W4241996101 @default.
• W3124063615 doi "https://doi.org/10.1016/j.irfa.2012.02.002" @default.
• W3124063615 hasPublicationYear "2012" @default.
• W3124063615 type Work @default.
• W3124063615 sameAs 3124063615 @default.
• W3124063615 citedByCount "31" @default.
• W3124063615 countsByYear W31240636152013 @default.
• W3124063615 countsByYear W31240636152014 @default.
• W3124063615 countsByYear W31240636152015 @default.
• W3124063615 countsByYear W31240636152016 @default.
• W3124063615 countsByYear W31240636152017 @default.
• W3124063615 countsByYear W31240636152018 @default.
• W3124063615 countsByYear W31240636152019 @default.
• W3124063615 countsByYear W31240636152020 @default.
• W3124063615 countsByYear W31240636152021 @default.
• W3124063615 countsByYear W31240636152022 @default.
• W3124063615 countsByYear W31240636152023 @default.
• W3124063615 crossrefType "journal-article" @default.
• W3124063615 hasAuthorship W3124063615A5025501683 @default.
• W3124063615 hasAuthorship W3124063615A5084381733 @default.
• W3124063615 hasConcept C10138342 @default.
• W3124063615 hasConcept C106159729 @default.
• W3124063615 hasConcept C111472728 @default.
• W3124063615 hasConcept C119857082 @default.
• W3124063615 hasConcept C127413603 @default.
• W3124063615 hasConcept C138885662 @default.
• W3124063615 hasConcept C139719470 @default.
• W3124063615 hasConcept C144133560 @default.
• W3124063615 hasConcept C149782125 @default.
• W3124063615 hasConcept C151730666 @default.
• W3124063615 hasConcept C162324750 @default.
• W3124063615 hasConcept C17744445 @default.
• W3124063615 hasConcept C178350159 @default.
• W3124063615 hasConcept C183582576 @default.
• W3124063615 hasConcept C199539241 @default.
• W3124063615 hasConcept C199728807 @default.
• W3124063615 hasConcept C204036174 @default.
• W3124063615 hasConcept C24308983 @default.
• W3124063615 hasConcept C26457952 @default.
• W3124063615 hasConcept C2777402642 @default.
• W3124063615 hasConcept C2778300220 @default.
• W3124063615 hasConcept C2780148112 @default.
• W3124063615 hasConcept C2780299701 @default.
• W3124063615 hasConcept C2780762169 @default.
• W3124063615 hasConcept C30589699 @default.
• W3124063615 hasConcept C41008148 @default.
• W3124063615 hasConcept C556758197 @default.
• W3124063615 hasConcept C78519656 @default.
• W3124063615 hasConcept C86803240 @default.
• W3124063615 hasConcept C89997419 @default.
• W3124063615 hasConcept C90992651 @default.
• W3124063615 hasConcept C91602232 @default.
• W3124063615 hasConceptScore W3124063615C10138342 @default.
• W3124063615 hasConceptScore W3124063615C106159729 @default.
• W3124063615 hasConceptScore W3124063615C111472728 @default.
• W3124063615 hasConceptScore W3124063615C119857082 @default.
• W3124063615 hasConceptScore W3124063615C127413603 @default.
• W3124063615 hasConceptScore W3124063615C138885662 @default.
• W3124063615 hasConceptScore W3124063615C139719470 @default.
• W3124063615 hasConceptScore W3124063615C144133560 @default.
• W3124063615 hasConceptScore W3124063615C149782125 @default.
• W3124063615 hasConceptScore W3124063615C151730666 @default.
• W3124063615 hasConceptScore W3124063615C162324750 @default.
• W3124063615 hasConceptScore W3124063615C17744445 @default.
• W3124063615 hasConceptScore W3124063615C178350159 @default.
• W3124063615 hasConceptScore W3124063615C183582576 @default.
• W3124063615 hasConceptScore W3124063615C199539241 @default.
• W3124063615 hasConceptScore W3124063615C199728807 @default.
• W3124063615 hasConceptScore W3124063615C204036174 @default.
• W3124063615 hasConceptScore W3124063615C24308983 @default.
• W3124063615 hasConceptScore W3124063615C26457952 @default.
• W3124063615 hasConceptScore W3124063615C2777402642 @default.
• W3124063615 hasConceptScore W3124063615C2778300220 @default.
• W3124063615 hasConceptScore W3124063615C2780148112 @default.
• W3124063615 hasConceptScore W3124063615C2780299701 @default.
• W3124063615 hasConceptScore W3124063615C2780762169 @default.
• W3124063615 hasConceptScore W3124063615C30589699 @default.
• W3124063615 hasConceptScore W3124063615C41008148 @default.
• W3124063615 hasConceptScore W3124063615C556758197 @default.

• next