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Publications by Antonio Rubia

Market Frictions and the Pricing of Sovereign Credit Default Swaps

Journal of International Money and Finance

English

Testing for General Fractional Integration in the Time Domain

Econometric Theory

Social Sciences

English

Related publications

Credit Default Swaps and the Credit Crisis

English

Credit Default Swaps and the Credit Crisis

SSRN Electronic Journal

English

Pricing-Hedging Duality for Credit Default Swaps and the Negative Basis Arbitrage

International Journal of Theoretical and Applied Finance

English

Fast Pricing of Basket Default Swaps

Operations Research

Management Science

Computer Science Applications

Operations Research

English

Pricing Default Swaps: Empirical Evidence

Journal of International Money and Finance

English

Credit Default Swaps Networks and Systemic Risk

Scientific Reports

Multidisciplinary

English

Non-Default Component of Sovereign Emerging Market Yield Spreads and Its Determinants:Evidence From the Credit Default Swap Market

Journal of Fixed Income

English

Credit Default Swaps and Corporate Cash Holdings

SSRN Electronic Journal

English

The Leverage Effect Puzzle: The Case of European Sovereign Credit Default Swap Market

Review of Derivatives Research

English