• Arbitrage costs and the persistent non-zero CDS-bond basis: evidence from intraday euro area sovereign debt markets 

      Ters, Kristyna; Gyntelberg, Jacob; Hoerdahl, Peter; Urban, Jörg (2017-04-26)
      We find evidence that in the market for euro area sovereign credit risk, arbitrageurs engage in basis trades between credit default swap (CDS) and bond markets only when the CDS-bond basis exceeds a certain threshold. This ...
    • Intraday dynamics of euro area sovereign CDS and bonds 

      Ters, Kristyna; Hoerdahl, Peter; Gyntelberg, Jacob; Urban, Jörg (2013-09)
      The recent sovereign debt crisis in the euro area has seen credit spreads on sovereign bonds and credit default swaps (CDS) surge for a number of member states. While these events have increased interest in understanding ...
    • Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion 

      Ters, Kristyna; Komarek, Lubos; Urban, Jörg (2016-06)
      We examine the role of the CDS and bond markets during and before the recent euro area sovereign debt crisis as transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for ...
    • Intraday dynamics of euro area sovereign credit risk contagion 

      Ters, Kristyna; Komarek, Lubos; Urban, Jörg (2016-07)
      We examine the role of the CDS and bond markets during and before the recent euro area sovereign debt crisis as transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for ...