We are particularly grateful to an anonymous referee for helpful comments. In addition, we wish to thank Klaus Düllmann, Jens Grunert, Rainer Jankowitsch, Volker Kleff, Markus Mentz, Ingmar Nolte, Winfried Pohlmeier, Monika Trapp, Andreas Trauten, Valeri Voev, participants of the CFS Workshop on credit derivatives and CDOs in Frankfurt, Germany (2004), the 11th Annual Meeting of the German Finance Association in Tübingen, Germany (2004), the 8th Conference of the Swiss Society for Financial Market Research in Zürich, Switzerland (2005), the 4th C.R.E.D.I.T. Conference in Venice, Italy (2005), and the Deutsche Bundesbank research seminar. We also thank two members of the credit derivatives department from the bank who provided the CDS data for helpful comments and suggestions. Financial support of the German National Science Foundation is gratefully acknowledged. Correspondence: Lars Norden.
The Co-movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis
Article first published online: 17 DEC 2007
© 2007 The Authors Journal compilation © 2007 Blackwell Publishing Ltd
European Financial Management
Volume 15, Issue 3, pages 529–562, June 2009
How to Cite
Norden, L. and Weber, M. (2009), The Co-movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis. European Financial Management, 15: 529–562. doi: 10.1111/j.1468-036X.2007.00427.x
- Issue published online: 26 MAY 2009
- Article first published online: 17 DEC 2007
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