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The benefits of using large high frequency financial datasets for empirical analyses: Two applied cases
(Bank for International Settlements, 2017-03)
Statistical implications of the new financial landscape : Proceedings of the Eighth IFC Conference, Basel, 8–9 September 2016
How do markets evaluate monetary policy announcements and how large are the shocks they convey? These are central questions for policy makers if they are interested in evaluating their decisions and quantitatively assess ...
04B - Beitrag Konferenzschrift
Intraday dynamics of euro area sovereign CDS and bonds
(2013-09)
Bank for International Settlements Working Papers
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 ...
01 - Zeitschriftenartikel, Journalartikel oder Magazin
Arbitrage costs and the persistent non-zero CDS-bond basis: evidence from intraday euro area sovereign debt markets
(2017-04-26)
Bank for International Settlements Working Paper
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 ...
01 - Zeitschriftenartikel, Journalartikel oder Magazin