Emerging market sovereign bond spreads: Estimation and back-testing

Comelli, Fabio

doi:10.1016/j.ememar.2012.09.002

Cited by 66 publications

(60 citation statements)

References 24 publications

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“…The works by Bunda et al (2009), Özatay et al (2009), Comelli (2012, Piljak (2013), Riedel et al (2013), Cifarelli and Paladino (2014), Csontó (2014), and Zinna (2014) are some examples of the broad literature that analyses sovereign bond spreads on emerging economics. Some of the variables included in these authors' analysis are the relative role of global financial conditions and domestic fundamentals (Bunda et al, 2009;Banerji et al, 2014;Cifarelli and Paladino, 2014;Özatay et al, 2009;Zinna 2014); the time-varying nature of spreads determinants in crises periods compared to non-crisis times (Comelli, 2012;Csontó, 2014); or the relevance of variables reflecting uncertainty, confidence conditions and perceptions for the upcoming economic activity (Piljak, 2013;Riedel et al, 2013) in explaining sovereign spreads behaviour.…”

Section: Econometric Methodologymentioning

confidence: 99%

Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

Rodríguez

Gómez‐Puig

Sosvilla‐Rivero

2016

Journal of International Financial Markets, Institutions and Mo

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a b s t r a c tWe measure the connectedness in EMU sovereign market volatility between April 1999 and January 2014, monitoring stress transmission and identifing episodes of intensive spillovers from one country to the others. We first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period using a framework recently proposed by Diebold and Yilmaz (2014). Second, we use a dynamic analysis to evaluate the net directional connectedness for each country and apply panel model techniques to investigate its determinants. Finally, we examine the time-varying behaviour of net pair-wise directional connectedness at different stages of the recent sovereign debt crisis.

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Section: Econometric Methodologymentioning

confidence: 99%

Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

Rodríguez

Gómez‐Puig

Sosvilla‐Rivero

2016

Journal of International Financial Markets, Institutions and Mo

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“…Nor should we forget the VIX, which is used to measure the extent of economic/financial stress and/or the appetite for risk-taking (Takats, 2010;Comelli, 2012). As a variable, the VIX is a measure of market stress and is correlated with other variables that are also sensitive to these effects.…”

Section: The Push Factorsmentioning

confidence: 99%

Cross-border banking claims on emerging countries: The Basel III Banking Reforms in a push and pull framework

Figuet¹,

Humblot²,

Lahet³

2015

Journal of International Financial Markets, Institutions and Mo

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“…More specifically, a number of recent studies focus on the trade-offs between bonds and domestic and international stock markets (e.g. Bianconi et al, 2013;Neaime, 2012;Pei, 2005), explanations for bond pricing and spreads (Ammer and Cai, 2011;Comelli, 2012;Gabrisch and Orlowski, 2010;Mizen and Tsoukas, 2012), the role of corporate governance and conflicts in family owned-firms (Gonzalez et al 2012), role of bonds as a funding alternative and bank financing (Bourgain et al, 2012;Flavin and O'Connor, 2010;Gimet and Lagoarde-Segot, 2012;Maquierira et al, 2012). Nonetheless, none of these works specifically consider the role of convertible bonds.…”

Section: Resultsmentioning

confidence: 99%

Convertible Bond Pricing Models

Batten

Khaw

Young

2013

Journal of Economic Surveys

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Abstract. Convertible bonds are an important segment of the corporate bond market, with worldwide outstandings approaching US$235 billion. Simple pricing models value a convertible bond as being equivalent to a straight bond with an embedded option that enables the bond holder to convert to a specific amount of common stock. The straight bond is subject to both interest rate and credit risk, whereas the option to convert is dependent on the underlying stock price, which exposes the convertible bond holder to equity risk. The complexity of these features means that convertible bonds tend to be treated casually in major derivatives and corporate finance textbooks. This paper presents a survey of the theoretical and empirical aspects of convertible bond pricing. The limitations of these studies are highlighted to identify those areas of research that may improve the valuation process and facilitate the application of these securities for corporate financing.

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Emerging market sovereign bond spreads: Estimation and back-testing

Cited by 66 publications

References 24 publications

Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

Cross-border banking claims on emerging countries: The Basel III Banking Reforms in a push and pull framework

Convertible Bond Pricing Models

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