Hammoudeh, Shawkat; Chang, Chia-Lin; McAleer, Michael; … - Faculteit der Economische Wetenschappen, Erasmus … - 2011
-related Credit Default Swaps (CDS) indexes, the (expected equity volatility) VIX index and the (swaption expected volatility) SMOVE … regulated, natural monopoly utility sector does not error correct. The four oil-related CDS spread indexes are responsive to VIX … from VIX. The 2007-2008 Great Recession seems to have led to “localization” and less migration of credit and market risk in …