Liquidity and financial contagion, Banque de France Financial Stability Review: Special Issue on Liquidity, vol.11, pp.1-7, 2008. ,
What is this thing called liquidity. Securities Industry Research Center of Asia Pacific, 1997. ,
Sovereign CDS and bond pricing dynamics in emerging markets: does the cheapest-to-deliver option matter? International Finance Discussion Papers, 2007. ,
The determinants of the cds-bond basis during the financial crisis of, 2007. ,
Emerging markets finance, Journal of Empirical Finance, vol.10, issue.1-2, pp.3-56, 2003. ,
DOI : 10.1016/S0927-5398(02)00054-3
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model, The Review of Economics and Statistics, vol.72, issue.3, pp.498-505, 1990. ,
DOI : 10.2307/2109358
Hedge Fund Contagion and Liquidity Shocks, The Journal of Finance, vol.1, issue.5, pp.1789-1816, 2010. ,
DOI : 10.1016/j.jfineco.2010.05.001
Liquidity risk, return predictability and hedge funds'performance: an empirical study, Journal of Financial and Quantitative Analysis, pp.forth- coming, 2012. ,
DOI : 10.1017/s0022109012000634
Market Liquidity and Funding Liquidity, Review of Financial Studies, vol.22, issue.6, pp.2201-2238, 2009. ,
DOI : 10.1093/rfs/hhn098
Does Correlation Between Stock Returns Really Increase During Turbulent Periods?, Economic Notes, vol.30, issue.1, pp.53-80, 2001. ,
DOI : 10.1111/1468-0300.00047
The credit default swap basis, 2006. ,
DOI : 10.3905/jsf.2006.614079
Maximum likelihood from incomplete data via the em algorithm, Journal of the Royal Statistical Society. Series B (Methodological), pp.1-38, 1977. ,
Credit Swap Valuation, Financial Analysts Journal, vol.55, issue.1, pp.73-87, 1999. ,
DOI : 10.2469/faj.v55.n1.2243
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, vol.50, issue.4, pp.987-1007, 1982. ,
DOI : 10.2307/1912773
Dynamic Conditional Correlation, Journal of Business & Economic Statistics, vol.20, issue.3, pp.339-350, 2002. ,
DOI : 10.1198/073500102288618487
An analysis of euro area sovereign CDS and their relation with government bonds, Journal of Banking & Finance, vol.62, 2010. ,
DOI : 10.1016/j.jbankfin.2015.10.010
URL : https://doi.org/10.1016/j.jbankfin.2015.10.010
A Decomposition of Global Linkages in Financial Markets Over Time, Review of Economics and Statistics, vol.87, issue.03, pp.705-722, 2004. ,
DOI : 10.1016/S0261-5606(03)00017-2
Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models, International Economic Review, vol.39, issue.3, pp.763-788, 1998. ,
DOI : 10.2307/2527399
Margin-based asset pricing and deviations from the law of one price, 2009. ,
Hedge fund portfolio construction: A comparison of static and dynamic approaches, Journal of Banking & Finance, vol.31, issue.1, pp.199-217, 2007. ,
DOI : 10.1016/j.jbankfin.2006.01.002
Treasury liquidity and funding liquidity: Evidence from mutual fund returns, Available at SSRN, 2012. ,
DOI : 10.2139/ssrn.2023187
Do liquidity measures measure liquidity????, Journal of Financial Economics, vol.92, issue.2, pp.153-181, 2009. ,
DOI : 10.1016/j.jfineco.2008.06.002
Equilibrium and welfare in markets with financially constrained arbitrageurs, Journal of Financial Economics, vol.66, issue.2-3, pp.361-407, 2002. ,
DOI : 10.1016/S0304-405X(02)00228-3
URL : http://faculty.london.edu/dgromb/Research/EquilibriumandWelfareinMarkets.pdf
Autoregressive conditional heteroskedasticity and changes in regime, Journal of Econometrics, vol.64, issue.1-2, pp.307-333, 1994. ,
DOI : 10.1016/0304-4076(94)90067-1
Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data, Journal of Financial and Quantitative Analysis, vol.12, issue.02, 2004. ,
DOI : 10.1016/0304-405X(95)00832-Y
On Random Correlation Matrices, SIAM Journal on Matrix Analysis and Applications, vol.12, issue.2, p.239, 1991. ,
DOI : 10.1137/0612019
Valuing Credit Default Swaps I, The Journal of Derivatives, vol.8, issue.1, pp.29-40, 2000. ,
DOI : 10.3905/jod.2000.319115
A New Estimate of Transaction Costs, Review of Financial Studies, vol.12, issue.5, p.1113, 1999. ,
DOI : 10.1093/rfs/12.5.1113
The cds bond basis spread in emerging markets: Liquidity and counterparty risk effects, 2009. ,
Credit derivatives: An overview, Economic Review, issue.Q4, pp.1-24, 2007. ,
Liquileaks, SSRN Electronic Journal, 2011. ,
DOI : 10.2139/ssrn.1763417
Coordination risk and the price of debt, European Economic Review, vol.48, issue.1, pp.133-153, 2004. ,
DOI : 10.1016/S0014-2921(02)00239-8
Regime switching for dynamic correlations, Journal of Econometrics, vol.131, issue.1-2, pp.445-473, 2006. ,
DOI : 10.1016/j.jeconom.2005.01.013
URL : http://www4.ncsu.edu/%7Edpellet/papers/dynamic_correlations.pdf
A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market, The Journal of Finance, vol.6, issue.4, pp.1127-1139, 1984. ,
DOI : 10.2307/2325486
International market correlation and volatility. Financial analysts journal, pp.17-34, 1996. ,
The liquidity risk of liquid hedge funds, Journal of Financial Economics, vol.100, issue.1, pp.24-44, 2011. ,
DOI : 10.1016/j.jfineco.2010.11.003
Threshold heteroskedastic models, Journal of Economic Dynamics and Control, vol.18, issue.5, pp.931-955, 1994. ,
DOI : 10.1016/0165-1889(94)90039-6