The occurrence of more and more financial crises characterized not only by their persistence but especially by their severity and magnitude encourages further investigation on portfolio diversification and financial assets' comovements. This paper studies the volatility spillover among 33 worldwide Sovereign Credit Default Swap markets and their underlying bond markets. Conversely to the studies of the literature, heteroscedasticity, asymmetric leverage effect and long-memory features of sovereign credit spreads are simultaneously taken into account through a bivariate FIEGARCH model and a Bayesian cointegrated VAR model. Similarly to the literature, our findings confirm strong evidences of credit risk spillover between credit markets accentuated during crisis periods. However, our country by country analysis allows us to show that countries exhibit different sensitivity levels and reactions' divergences to financial shocks. Further, we show that the bidirectional interrelationship evolves over time and across countries emphasizing the necessity of time-varying national regulatory policies and trading positions.