Kristyna Ters

University of Basel

No Address Available

SCHOLARLY PAPERS

6

DOWNLOADS

457

SSRN CITATIONS
Rank 37,228

SSRN RANKINGS

Top 37,228

in Total Papers Citations

5

CROSSREF CITATIONS

16

Scholarly Papers (6)

1.

Intraday Dynamics of Euro Area Sovereign CDS and Bonds

BIS Working Paper No. 423
Number of pages: 87 Posted: 27 Feb 2014
European Banking Authority, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 147 (252,466)
Citation 2

Abstract:

Loading...

Sovereign credit risk, credit default swaps, price discovery, intraday

Arbitrage Costs and the Persistent Non-Zero CDS-Bond Basis: Evidence from Intraday Euro Area Sovereign Debt Markets

BIS Working Paper No. 631
Number of pages: 45 Posted: 29 Apr 2017
European Banking Authority, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 68 (425,209)

Abstract:

Loading...

Sovereign credit risk, credit default swaps, price discovery, regime switch, intraday, arbitrage, transaction costs

Arbitrage Costs and the Persistent Non-Zero CDS-Bond Basis: Evidence from Intraday Euro Area Sovereign Debt Markets

Number of pages: 33 Posted: 09 Nov 2016
European Banking Authority, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 54 (477,503)
Citation 6

Abstract:

Loading...

sovereign credit risk, credit default swaps, price discovery, regime switch, intraday, arbitrage, transaction costs

3.

The Transmission of Euro Area Sovereign Risk Contagion: Evidence from Intraday CDS and Bond Markets

Number of pages: 38 Posted: 08 Nov 2016
Kristyna Ters and Jörg Urban
University of Basel and Bank for International Settlements (BIS)
Downloads 61 (443,843)
Citation 1

Abstract:

Loading...

Contagion, Credit Default Swaps, Intraday, Panel VAR, Sovereign Credit Risk, Sovereign Debt Crisis, Spillover

4.

Credit Risk Contagion Before and During the Euro Area Sovereign Debt Crisis: Evidence from Central Europe

Number of pages: 20 Posted: 08 Nov 2016
Kristyna Ters and Jörg Urban
University of Basel and Bank for International Settlements (BIS)
Downloads 53 (473,841)
Citation 2

Abstract:

Loading...

Central Europe, Contagion, Credit Default Swaps, Intraday, Panel VAR, Sovereign Credit Risk, Sovereign Debt Crisis, Spillover

5.

Estimating Unknown Arbitrage Costs: Evidence from a 3-Regime Threshold Vector Error Correction Model

BIS Working Paper No. 689
Number of pages: 41 Posted: 25 Jan 2018
Kristyna Ters and Jörg Urban
University of Basel and Bank for International Settlements (BIS)
Downloads 37 (545,961)

Abstract:

Loading...

Transaction cost, arbitrage, basis, threshold, regime switch, intraday, nonlinear, non-stationary, error correction

6.

Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion

BIS Working Paper No. 573
Number of pages: 39 Posted: 26 Jul 2016
Lubos Komarek, Kristyna Ters and Jörg Urban
Czech National Bank, University of Basel and Bank for International Settlements (BIS)
Downloads 37 (545,961)

Abstract:

Loading...

sovereign credit risk, credit default swaps, contagion, spillover, sovereign debt crisis, panel VAR