default swap index tranches, and a structural model applied to the spread on U.S. corporate bond indexes. The authors find …

of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory … the term structure of option-implied volatility, skewness and kurtosis and find that time-dependence in returns has a …

variance term structure reveal two important drivers of the bond premium, the equity premium, and the variance premium, jointly …

equivalent to a regular bond and an embedded option to the borrower to default. He finds that the lender will not advance to the … market value of the collateral. Increases in the volatility of the value of the collateral, interest rate, and dividend rate …

bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo …-ask spreads, trading volumes, and realized volatility in the markets but there remains much unexplained. …

premia. In addition, we demonstrate a linkage between the default barrier, jump intensity, and barrier volatility estimated … from our models and firm-specific variables related to default risk, such as credit ratings, equity volatility, and …