This paper investigates the presence of asymmetries in the short-and long-run relationships
between the 5-year CDS index spreads at the US industry level and a set of major …

Sectoral corporate credit risk interlinkages constitute a highly topical issue for the systemic
risk considerations of policymakers and market practitioners. We reveal the macroeconomic …

Depending on the chosen perspective, cryptocurrencies either constitute a unique
opportunity to end national patronizing built on debt-based fiat money (currency) or a …

Default risk in the Travel and Leisure (T&L) industry remains understudied despite its
implications for the industry's health and stability. This paper investigates the transmission of …

Purpose This paper examines the relationship between sovereign credit default swaps
(CDS) and several macroeconomic factors in an asymmetric setting and distinguishes …

This study uses a dynamic copula model of dependence to investigate risk spillovers in
China's credit bond market between the bank and corporate sectors for a range of maturities …

Abstract Compared to Credit Default Swap (CDS) literature, this study focuses on the
magnitude of volatility transmission and the risk spillover mechanism across the oil market …

We examine the causal links between US industry-wise credits and stock markets. The full
sample bootstrap Granger causality results show that all stock markets Granger cause their …

This paper aimed to investigate the drivers of sovereign credit risk spreads changes in the
case of four Gulf Cooperation Council (GCC) countries, namely Kingdom of Saudi Arabia …

This paper investigates the forecasting performance for CDS spreads of both linear and non-
linear models by analysing the iTraxx Europe index during the financial crisis period which …