Credit Default Swaps: Contract Characteristics and Interrelations with the Bond Market

Constraints on short-selling and asset price adjustment to private information

Douglas W. Diamond, Robert E. Verrecchia · Journal of Financial Economics · 1987 · 1.9K citations

Market Microstructure, Empirical Finance, Economics +8

An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps

Roberto Blanco, Simon Brennan · The Journal of Finance · 2005 · 1.2K citations

Empirical Finance, Credit Spread, Credit Spreads +16

Presidential Address: Asset Price Dynamics with Slow‐Moving Capital

Darrell Duffie · The Journal of Finance · 2010 · 867 citations

Empirical Finance, Market Microstructure, Economics +13

An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps

Brian A. Maris · CFA Digest · 2006 · 645 citations

Empirical Finance, Dynamic Relation, Economics +12

The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis

Lars L. Nordén, Martin Weber · European Financial Management · 2009 · 536 citations

Empirical Finance, Credit Default Swap, Time Series Econometrics +17