Kristyna Ters

University of Basel

No Address Available

SCHOLARLY PAPERS

6

DOWNLOADS

352

CITATIONS

5

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
Nordea Group, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 123 (225,847)
Citation 5

Abstract:

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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

Number of pages: 33 Posted: 09 Nov 2016
Nordea Group, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 45 (407,950)
Citation 3

Abstract:

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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

BIS Working Paper No. 631
Number of pages: 45 Posted: 29 Apr 2017
Nordea Group, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 45 (407,869)

Abstract:

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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 52 (376,614)
Citation 1

Abstract:

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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 41 (414,945)

Abstract:

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

5.

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 29 (465,869)

Abstract:

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

6.

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 17 (532,096)

Abstract:

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