Forthcoming and Online First Articles

International Journal of Bonds and Derivatives

International Journal of Bonds and Derivatives (IJBD)

Forthcoming articles have been peer-reviewed and accepted for publication but are pending final changes, are not yet published and may not appear here in their final order of publication until they are assigned to issues. Therefore, the content conforms to our standards but the presentation (e.g. typesetting and proof-reading) is not necessarily up to the Inderscience standard. Additionally, titles, authors, abstracts and keywords may change before publication. Articles will not be published until the final proofs are validated by their authors.

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International Journal of Bonds and Derivatives (1 paper in press)

Regular Issues

  • The dynamic relationship between the bond and CDS markets of emerging countries: Copula-GARCH   Order a copy of this article
    by Imen Daoued, Mohamed Imen Gallali 
    Abstract: This paper examines the interaction between sovereign bond credit spreads and CDS premiums. We use ARDL models to test whether there is a long-run equilibrium relationship between the variables, using daily data for the period October 2008 to November 2016 for 22 emerging market countries. To analyze the validity of the results of the Granger causality test, a test of the static copula model was applied to measure the interdependence of the variables. The empirical literature on copula and their use in financial dependence is extensive (see Joe H., Li H., Nikololopoulos (2012)), and they provide a new, alternative measurement technique.
    Keywords: ARDL-ECM • Lead-lag • Statics Copula • Sovereign Bond Credit SPREADS• CDS premiums. Price discovery. Emerging Markets. Flight to quality. Basis CDS-BCS. Positive base. Negative base. Arbitrage. The unidirectional relationship. The bidirectional relationship.

 

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