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
Options for accessing this content:
- If you have access to this content through a society membership, please first log in to your society website.
- If you would like institutional access to this content, please recommend the title to your librarian.
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- If you already have a Wiley Online Library or Wiley InterScience user account: login above and proceed to purchase the article.
- New Users: Please register, then proceed to purchase the article.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!