Credit-implied equity volatility : long-term forecasts and alternative fear gauges
Year of publication: |
2015
|
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Authors: | Byström, Hans N. E. |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 35.2015, 8, p. 753-775
|
Subject: | credit default swaps | implied volatility | CreditGrades | VIX | fear gauge | long-term forecast | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kreditderivat | Credit derivative | Prognose | Forecast | Welt | World | Schätzung | Estimation |
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