Roberto Blanco : Citation Profile


Are you Roberto Blanco?

Banco de España

5

H index

3

i10 index

469

Citations

RESEARCH PRODUCTION:

18

Articles

15

Papers

2

Books

5

Chapters

RESEARCH ACTIVITY:

   26 years (1992 - 2018). See details.
   Cites by year: 18
   Journals where Roberto Blanco has often published
   Relations with other researchers
   Recent citing documents: 128.    Total self citations: 2 (0.42 %)

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   Permalink: http://citec.repec.org/pbl236
   Updated: 2020-07-04    RAS profile: 2019-06-26    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Roberto Blanco.

Is cited by:

Gündüz, Yalin (9)

Girardi, Alessandro (9)

Avino, Davide (9)

Caporale, Guglielmo Maria (8)

Mayordomo, Sergio (6)

Chan-Lau, Jorge (6)

Hammoudeh, Shawkat (6)

Gómez-Puig, Marta (6)

Portes, Richard (5)

Zhou, Hao (5)

Delatte, Anne-Laure (5)

Cites to:

Abel, Andrew (6)

Campbell, John (6)

Jagannathan, Ravi (5)

Lo, Andrew (5)

Ait-Sahalia, Yacine (5)

Craig, Ben (4)

Valkanov, Rossen (4)

Engle, Robert (4)

Hansen, Lars (4)

Santa-Clara, Pedro (4)

Ortalo-Magne, Francois (3)

Main data


Where Roberto Blanco has published?


Journals with more than one article published# docs
Boletn Econmico10
Investigaciones Economicas2
Economic Bulletin2

Working Papers Series with more than one paper published# docs
Working Papers / Banco de Espaa11
DFAEII Working Papers / University of the Basque Country - Department of Foundations of Economic Analysis II2

Recent works citing Roberto Blanco (2018 and 2017)


YearTitle of citing document
2018Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007.

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2019Time-Varying Price Discovery in Sovereign Credit Markets. (2019). Guidolin, Massimo ; Tosi, Alessandra ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19120.

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2019A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle. (2019). Guidolin, Massimo ; Pedio, Manuela ; Melloni, Francesco. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19121.

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2017A quantitative analysis of risk premia in the corporate bond market. (2017). Cecchetti, Sara. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1141_17.

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2017Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets. (2017). Hördahl, Peter ; Gyntelberg, Jacob ; Urban, Jorg ; Ters, Kristyna ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:631.

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2017The role of managerial risk-taking in the ‘rise and fall’ of the CDS market. (2017). Dias, Roshanthi . In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i::p:117-145.

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2018The sensitivity of the credit default swap market to financial analysts’ forecast revisions. (2018). Alam, Pervaiz ; Hettler, Barry ; Pu, Xiaoling . In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:697-725.

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2017WHAT YOU DONT KNOW CAN HURT YOU: KNOWLEDGE PROBLEMS IN MONETARY POLICY. (2017). Smith, Daniel ; Salter, Alexander. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:35:y:2017:i:3:p:505-517.

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2018Market†based estimates of implicit government guarantees in European financial institutions. (2018). Zhao, Lei. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:1:p:79-112.

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2017Solvency and wholesale funding cost interactions at UK banks. (2017). Hacioglu Hoke, Sinem ; Panagiotopoulos, Apostolos ; Dent, Kieran . In: Bank of England working papers. RePEc:boe:boeewp:0681.

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2019SME access to finance in Europe: structural change and the legacy of the crisis. (2019). McQuinn, John ; John Mc Quinn, . In: Research Technical Papers. RePEc:cbi:wpaper:10/rt/19.

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2018Safe Haven CDS Premiums. (2018). Lando, David ; Klinger, Sven. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12694.

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2018The term structure of redenomination risk. (2018). Kriwoluzky, Alexander ; Kim, Chi Hyun ; Bayer, Christian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12965.

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2018Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach. (2018). Siklos, Pierre ; Gross, Christian. In: CQE Working Papers. RePEc:cqe:wpaper:7218.

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2018The Term Structure of Redenomination Risk. (2018). Kriwoluzky, Alexander ; Kim, Chi Hyun ; Bayer, Christian. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1740.

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2017Mortgage arrears, regulation and institutions: Cross-country evidence. (2017). Vlahu, Razvan ; de Haan, Jakob ; Stanga, Irina . In: DNB Working Papers. RePEc:dnb:dnbwpp:580.

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2018Discretionary fiscal policy and sovereign risk. (2018). Montes, Gabriel ; Valpassos, Iven Silva. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00081.

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2017Linkages and Efficiency Between iTraxx Europe and Financial Market Dynamics in South-East Europe Capital Markets in Post-crisis Period. (2017). Paskaleva, Mariya ; Stoitsova-Stoykova, Ani . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-24.

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2019Large EU banks’ capital and liquidity: Relationship and impact on credit default swap spreads. (2019). Girardone, Claudia ; Sclip, Alex ; Miani, Stefano. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:4:p:438-461.

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2017Direct and indirect risk-taking incentives of inside debt. (2017). Colonnello, Stefano ; Hoang, Ngoc Giang ; Curatola, Giuliano. In: Journal of Corporate Finance. RePEc:eee:corfin:v:45:y:2017:i:c:p:428-466.

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2018Time-varying arbitrage and dynamic price discovery. (2018). Frijns, Bart. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:485-502.

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2017Equity market information and credit risk signaling: A quantile cointegrating regression approach. (2017). Gatfaoui, Hayette. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59.

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2018Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets. (2018). Zhang, Zhaoyong ; Shi, Yanlin ; Ho, Kin-Yip. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:168-186.

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2020Sovereign default risk, debt uncertainty and fiscal credibility: The case of Brazil. (2020). Souza, Ivan ; Montes, Gabriel Caldas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302316.

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2020News sentiment, credit spreads, and information asymmetry. (2020). Wang, Xinjie ; Liu, Zhechen ; Yang, Shanxiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300760.

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2018A novel approach for testing the parity relationship between CDS and credit spread. (2018). Castagnetti, Carolina. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:115-117.

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2020Variance disparity and market frictions. (2020). Park, Yang-Ho. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:326-348.

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2017Combined Lagrange multiplier test for ARCH in vector autoregressive models. (2017). Catani, P S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:62-84.

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2017How credit ratings affect sovereign credit risk: Cross-border evidence in Latin American emerging markets. (2017). Ballester, Laura ; Gonzalez-Urteaga, Ana . In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:200-214.

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2018Can Islamic banks have their own benchmark?. (2018). Azad, A. S. M. S., ; Ahsan, Amirul ; Chazi, Abdelaziz ; Azmat, Saad. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:120-136.

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2019Limits to arbitrage and CDS–bond dynamics around the financial crisis. (2019). Chalamandaris, George ; Pagratis, Spyros. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:213-235.

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2018The reputational effects of analysts stock recommendations and credit ratings: Evidence from operational risk announcements in the financial industry. (2018). Barakat, Ahmed ; Fenn, Paul ; Ashby, Simon. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:1-22.

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2018Future directions in international financial integration research - A crowdsourced perspective. (2018). Zaghini, Andrea ; Piljak, Vanja ; Kearney, Fearghal ; Fernandez, Viviana ; Gogolin, Fabian ; Versteeg, Roald ; Ly, Kim Cuong ; Urquhart, Andrew ; Lonarski, Igor ; Dimic, Nebojsa ; Stafylas, Dimitrios ; Lindblad, Annika ; Carchano, Oscar ; Sheng, Xin ; Larkin, Charles J ; Brzeszczynski, Janusz ; Sevic, Aleksandar ; Laing, Elaine ; Barbopoulos, Leonidas ; Ballester, Laura ; Ohagan-Luff, Martha ; Ichev, Riste ; Yarovaya, Larisa ; Vigne, Samuel A ; Neville, Conor ; Helbing, Pia ; Wolfe, Simon ; Lucey, Brian M ; McGroarty, Frank ; Goodell, John W ; Vu, Anh N ; McGee, Richard J ; Gonzalez-Urteaga, Ana ; Marin, Matej . In: International Review of Financial Analysis. RePEc:eee:finana:v:55
2018An analysis of time-varying commodity market price discovery. (2018). Narayan, Paresh Kumar ; Sharma, Susan Sunila. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:122-133.

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2017Sovereign bond markets and financial volatility dynamics: Panel-GARCH evidence for six euro area countries. (2017). Cermeño, Rodolfo ; Curto, Jose Dias ; Cermeo, Rodolfo ; Ribeiro, Pedro Pires . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:107-114.

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2017What determines bank CDS spreads? Evidence from European and US banks. (2017). Thornton, John ; di Tommaso, Caterina ; Drago, Danilo. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:140-145.

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2018Debt market illiquidity and correlated default risk. (2018). Javadi, Siamak ; Mollagholamali, Mohsen. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:266-273.

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2020Corporate innovation and credit default swap spreads. (2020). Oh, Frederick Dongchuhl ; Lee, Hwang Hee. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318306226.

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2017Understanding transactions prices in the credit default swaps market. (2017). Tang, Dragon Yongjun ; Yan, Hong. In: Journal of Financial Markets. RePEc:eee:finmar:v:32:y:2017:i:c:p:1-27.

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2017Price discovery in equity and CDS markets. (2017). Perrakis, Stylianos ; Zhong, Rui ; Kryzanowski, Lawrence. In: Journal of Financial Markets. RePEc:eee:finmar:v:35:y:2017:i:c:p:21-46.

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2019Financial sector bailouts, sovereign bailouts, and the transfer of credit risk. (2019). Nguyen, Viet Hoang ; Huang, Jingong ; Greenwood-Nimmo, Matthew. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:121-142.

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2017An international forensic perspective of the determinants of bank CDS spreads. (2017). Sousa, Ricardo ; Mallick, Sushanta ; Benbouzid, Nadia. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:60-70.

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2018The effect of the financial crisis on default by Spanish households. (2018). Aller, Carlos ; Grant, Charles. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:39-52.

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2020Systemic risk and financial stability dynamics during the Eurozone debt crisis. (2020). Kouretas, Georgios ; Bratis, Theodoros ; Laopodis, Nikiforos T. In: Journal of Financial Stability. RePEc:eee:finsta:v:47:y:2020:i:c:s1572308920300012.

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2017Do country-level financial structures explain bank-level CDS spreads?. (2017). Sousa, Ricardo ; Mallick, Sushanta ; Benbouzid, Nadia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:135-145.

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2017The equity-like behaviour of sovereign bonds. (2017). Dufour, Alfonso ; Varotto, Simone ; Stancu, Andrei . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:25-46.

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2017Is default risk priced equally fast in the credit default swap and the stock markets? AN empirical investigation. (2017). Topaloglou, Nikolas ; Tolikas, Konstantinos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:39-57.

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2018Distribution specific dependence and causality between industry-level U.S. credit and stock markets. (2018). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Balcilar, Mehmet ; Hammoudeh, Shawkat ; Mensi, Walid ; Hussain, Syed Jawad. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:114-133.

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2018What drives corporate CDS spreads? A comparison across US, UK and EU firms. (2018). Pereira, John ; Nurullah, Mohamed ; Sorwar, Ghulam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:188-200.

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2018On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting. (2018). Goutte, Stéphane ; DHAOUI, Abderrazak ; Abid, Ilyes ; Guesmi, Khaled. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:233-254.

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2020Looking through systemic credit risk: Determinants, stress testing and market value. (2020). Novales, Alfonso ; Chamizo, Alvaro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300939.

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2017Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching. (2017). Fuertes, Ana-Maria ; Kalotychou, Elena ; Fei, Fei . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:662-678.

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2017When does the bond price reaction to earnings announcements predict future stock returns?. (2017). Even-Tov, Omri. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:64:y:2017:i:1:p:167-182.

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2020The surface of implied firm’s asset volatility. (2020). Silaghi, Florina ; Lovreta, Lidija. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302789.

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2017Information in CDS spreads. (2017). Norden, Lars. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:118-135.

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2018Detecting abnormal changes in credit default swap spreads using matching-portfolio models. (2018). Lugo, Stefano ; Bertoni, Fabio. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:90:y:2018:i:c:p:146-158.

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2018Price discovery in euro area sovereign credit markets and the ban on naked CDS. (2018). Hördahl, Peter ; Gyntelberg, Jacob ; Urban, Jorg ; Ters, Kristyna ; Hordahl, Peter. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:106-125.

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2019Operational risk and reputation in financial institutions: Does media tone make a difference?. (2019). Barakat, Ahmed ; Bryce, Cormac ; Fenn, Paul ; Ashby, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:1-24.

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2020Absence of speculation in the European sovereign debt markets. (2020). Frijns, Bart. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:169:y:2020:i:c:p:245-265.

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2017Transmission of financial stress in Europe: The pivotal role of Italy and Spain, but not Greece. (2017). Johnson, Christian ; Gonzalez-Hermosillo, Brenda . In: Journal of Economics and Business. RePEc:eee:jebusi:v:90:y:2017:i:c:p:49-64.

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2018The impact of the Volcker rule on targeted banks, systemic risk, liquidity, and financial reporting quality. (2018). Elayan, Fayez A ; Pacharn, Parunchana ; Brown, Kareen ; Aktas, Rafet . In: Journal of Economics and Business. RePEc:eee:jebusi:v:96:y:2018:i:c:p:69-89.

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2017Large shareholders and credit ratings. (2017). Kedia, Simi ; Zhou, Xing ; Rajgopal, Shivaram. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:3:p:632-653.

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2017The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs). (2017). Dannhauser, Caitlin D. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:537-560.

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2018When do CDS spreads lead? Rating events, private entities, and firm-specific information flows. (2018). Lee, Jongsub ; Velioglu, Guner ; Naranjo, Andy. In: Journal of Financial Economics. RePEc:eee:jfinec:v:130:y:2018:i:3:p:556-578.

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2017Do banks’ overnight borrowing rates lead their CDS price? Evidence from the Eurosystem. (2017). Jokivuolle, Esa ; Tolo, Eero ; Viren, Matti. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:31:y:2017:i:c:p:93-106.

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2020Sovereign risk evaluation for European Union countries. (2020). Deligiannakis, Emmanouil ; Agiakloglou, Christos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:103:y:2020:i:c:s0261560619306175.

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2018Quality of government institutions and spreads on sovereign credit default swaps. (2018). Chen, Hsien-Yi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:87:y:2018:i:c:p:82-95.

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2019Credit default swaps as indicators of bank financial distress. (2019). Cotter, John ; Conlon, Thomas ; Avino, Davide E. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:94:y:2019:i:c:p:132-139.

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2018Game changer? The impact of the VW emission-cheating scandal on the interrelation between large automakers’ equity and credit markets. (2018). Griffin, Paul A ; Lont, David H. In: Journal of Contemporary Accounting and Economics. RePEc:eee:jocaae:v:14:y:2018:i:2:p:179-196.

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2017Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Kumar, Ronald ; Nor, Safwan Mohd ; Hussain, Syed Jawad. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:351-363.

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2017Valuation of systematic risk in the cross-section of credit default swap spreads. (2017). Scheule, Harald ; Claussen, Arndt ; Rosch, Daniel ; Lohr, Sebastian . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:183-195.

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2017Directional and bidirectional causality between U.S. industry credit and stock markets and their determinants. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Hussain, Syed Jawad ; Hammoudeh, Shawkat ; Nor, Safwan Mohd. In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:46-61.

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2017Liquidity basis between credit default swaps and corporate bonds markets. (2017). Kim, Kwanho. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:98-115.

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2018The interconnections between U.S. financial CDS spreads and control variables: New evidence using partial and multivariate wavelet coherences. (2018). Shahbaz, Muhammad ; Hkiri, Besma ; Aloui, Chaker ; Hammoudeh, Shawkat. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:237-257.

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2018The housing market and the credit default swap premium in the UK banking sector: A VAR approach. (2018). Benbouzid, Nadia ; Pilbeam, Keith ; Mallick, Sushanta. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:1-15.

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2018Is Thailand’s credit default swap market linked to bond and stock markets? Evidence from the term structure of credit spreads. (2018). Jitmaneeroj, Boonlert. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:324-341.

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2019Contagion and bond pricing: The case of the ASEAN region. (2019). Abid, Ilyes ; Guesmi, Khaled ; Goutte, Stephane ; Dhaoui, Abderrazak. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:371-385.

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2019Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach. (2019). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:106-133.

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2019Analyzing credit risk transmission to the non-financial sector in Europe: A network approach. (2019). Siklos, Pierre ; Gross, Christian. In: CAMA Working Papers. RePEc:een:camaaa:2019-43.

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2017Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures. (2017). Barnard, Brian. In: Expert Journal of Finance. RePEc:exp:finnce:v:5:y:2017:i:1:p:49-72.

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2017Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures. (2017). Barnard, Brian. In: Expert Journal of Finance. RePEc:exp:finnce:v:5:y:2017:i::p:49-72.

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2018Rating Migration and Bond Valuation: Ahistorical Interest Rate and Default Probability Term Structures. (2018). Barnard, Brian. In: Expert Journal of Finance. RePEc:exp:finnce:v:6:y:2018:i:1:p:16-30.

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2019Variance Disparity and Market Frictions. (2019). Park, Yang-Ho. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-59.

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2019An Information-Based Theory of Financial Intermediation. (2019). Trachter, Nicholas ; Sultanum, Bruno ; Bethune, Zachary. In: Working Paper. RePEc:fip:fedrwp:19-12.

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2019Are CDS Spreads Sensitive to the Term Structure of the Yield Curve? A Sector-Wise Analysis under Various Market Conditions. (2019). Aman, Asia. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:158-:d:272145.

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2019A Quantitative Analysis of Risk Premia in the Corporate Bond Market. (2019). Cecchetti, Sara. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2019:i:1:p:3-:d:300251.

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2019Persistence of Bank Credit Default Swap Spreads. (2019). Huang, Xin. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:90-:d:260881.

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2017Alarm System for Credit Losses Impairment under IFRS 9. (2017). Thérond, Pierre-Emmanuel ; Therond, Pierre-Emmanuel ; Salhi, Yahia. In: Post-Print. RePEc:hal:journl:hal-00927391.

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2017International risk spillover in the sovereign credit markets: An empirical analysis. (2017). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01652526.

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2018On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2018). de Peretti, Christian ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01710398.

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2017What’s Mine Is Yours: Sovereign Risk Transmission during the European Debt Crisis. (2017). shin, yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew. In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2017n17.

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2018Liquidity and Pricing of Credit Default Swaps in Japan: Evidence from a Benchmark Index for Corporate Debt Claims. (2018). Inaba, Kei-Ichiro. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:54:y:2018:i:1:d:10.1007_s10693-016-0241-6.

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2018The Effects of Industry Specific and Local Economic Factors on Credit Default Swap Spreads: Evidence from REITs. (2018). Bai, Qing ; Zhu, LU. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:54:y:2018:i:3:d:10.1007_s10693-016-0269-7.

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2019Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe. (2019). Wengerek, Sascha Tobias ; Uhde, Andre ; Hippert, Benjamin. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:2:d:10.1007_s11147-018-9148-8.

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2017The economic significance of CDS price discovery. (2017). Xiang, Vincent ; Fang, Victor ; Chng, Michael T. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:1:d:10.1007_s11156-015-0540-2.

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2018Credit default swap spreads and annual report readability. (2018). Hu, Nan ; Zhu, LU ; Liu, Ling. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:2:d:10.1007_s11156-017-0639-8.

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2018Central Banking without Romance. (2018). Smith, Daniel J. In: European Journal of Comparative Economics. RePEc:liu:liucej:v:15:y:2018:i:2:p:293-314.

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2018Credit Risk Research: Review and Agenda. (2018). Zamore, Stephen ; Hobdari, Bersant ; Alon, Ilan ; Djan, Kwame Ohene. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:54:y:2018:i:4:p:811-835.

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2017Asset Mispricing. (2017). Longstaff, Francis ; Lewis, Kurt ; Petrasek, Lubomir . In: NBER Working Papers. RePEc:nbr:nberwo:23231.

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2019Do Credit Default Swaps Mitigate the Impact of Credit Rating Downgrades?. (2019). Ornthanalai, Chayawat ; Ganduri, Rohan ; Chava, Sudheer. In: Review of Finance. RePEc:oup:revfin:v:23:y:2019:i:3:p:471-511..

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2018Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach. (2018). Mili, Mehdi. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:2:d:10.1057_s41260-017-0068-1.

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More than 100 citations found, this list is not complete...

Works by Roberto Blanco:


YearTitleTypeCited
1999El mercado español de renta variable. Análisis de la liquidez e influencia del mercado de derivados In: Estudios Económicos.
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2000Una estimación de primas de liquidez en el mercado español de deuda pública In: Boletín Económico.
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2000¿Ha aumentado el grado de integración financiera durante los noventa? In: Boletín Económico.
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2000Los nuevos mercados bursátiles: un instrumento para financiar la nueva economía In: Boletín Económico.
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article0
2001Los mercados de deuda pública del área del euro. Evolución reciente e implicaciones In: Boletín Económico.
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2001Estimación de expectativas de inflación a partir de los precios del bono indiciado francés In: Boletín Económico.
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2003El contenido informativo de los derivados crediticios In: Boletín Económico.
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article0
2003La importancia de la composición sectorial en la evolución reciente de las bolsas In: Boletín Económico.
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article0
2004Créditos hipotecarios a tipo de interés fijo frente a tipo variable: comparación de riesgos e implicaciones macroeconómicas In: Boletín Económico.
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2007La volatilidad del tipo de interés a un día y su transmisión a lo largo de la curva de rentabilidades del mercado monetario del área del euro In: Boletín Económico.
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article0
2008Los efectos de las variaciones de los tipos de interés del mercado monetario sobre la renta de los hogares en España In: Boletín Económico.
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article0
2003The significance of sectoral composition in recent stock market developments In: Economic Bulletin.
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article0
2007Overnight interest rate volatility and its transmission along the euro area money market yield curve In: Economic Bulletin.
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article0
2006House prices and real interest rates in Spain In: Occasional Papers.
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paper2
2006Monetary and financial conditions In: Other publications.
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chapter0
2006The financial system In: Other publications.
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chapter1
2000Estimating Liquidity Premia in the Spanish Government Securities Market In: Working Papers.
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paper4
2001Estimating liquidity premia in the Spanish Government securities market.(2001) In: BIS Papers chapters.
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This paper has another version. Agregated cites: 4
chapter
2004Estimating liquidity premia in the Spanish government securities market.(2004) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 4
article
2001Estimating Inflation Expectations using French Government Inflation-Indexed Bonds In: Working Papers.
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paper3
2001The Euro-Area Government Securities Markets. Recent Developments and Implications for Market Functioning In: Working Papers.
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paper13
2002Euro area government securities markets: recent developments and implications for market functioning.(2002) In: BIS Papers chapters.
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This paper has another version. Agregated cites: 13
chapter
2004An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps In: Working Papers.
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paper52
2004An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps.(2004) In: Bank of England working papers.
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This paper has another version. Agregated cites: 52
paper
2005Testing the forecasting performace of IBEX 35 option implied risk neutral densities In: Working Papers.
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paper3
2005Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities.(2005) In: DFAEII Working Papers.
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This paper has another version. Agregated cites: 3
paper
2005Is the volatility of the EONIA transmitted to longer-term euro money market interest rates? In: Working Papers.
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paper5
2006Option-implied preferences adjustments, density forecasts, and the equity risk premium In: Working Papers.
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paper1
2009Option-implied preferences adjustments, density forecasts, and the equity risk premium.(2009) In: Spanish Economic Review.
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This paper has another version. Agregated cites: 1
article
2007Have real interest rates really fallen that much in Spain? In: Working Papers.
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2011HAVE REAL INTEREST RATES REALLY FALLEN THAT MUCH IN SPAIN?.(2011) In: Revista de Economia Aplicada.
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This paper has another version. Agregated cites: 0
article
2012Determinants of default ratios in the segment of loans to households in Spain In: Working Papers.
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paper4
2018Credit allocation along the business cycle: evidence from the latest boom bust credit cycle in Spain In: Working Papers.
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paper1
1999Has Financial Market Integration Increased during the Nineties? In: Working Papers.
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paper6
2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps In: Journal of Finance.
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article365
2005Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts In: DFAEII Working Papers.
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paper0
201350 Years of Money and Finance: Lessons and Challenges In: SUERF 50th Anniversary Volume - 50 Years of Money and Finance: Lessons and Challenges.
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book8
2013The 2007- Financial Crisis - a EURO-pean Perspective In: SUERF 50th Anniversary Volume Chapters.
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chapter0
1992Coberturas de carteras de bonos con futuros financieros: evidencia en el caso español In: Investigaciones Economicas.
[Full Text][Citation analysis]
article0
2000Efectos sobre la volatilidad del mercado bursátil de la introducción de los contratos de futuros y opciones sobre el índice IBEX-35 In: Investigaciones Economicas.
[Full Text][Citation analysis]
article1

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