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Volatility spillovers and connectedness among credit default swap sector indexes

Fonseca, José da; Ignatieva, Ekaterina - In: Applied economics 50 (2018) 36, pp. 3923-3936

Persistent link: https://www.econbiz.de/10012060164

A joint analysis of market indexes in credit default swap, volatility and stock markets

Fonseca, José da; Wang, Peiming - In: Applied economics 48 (2016) 19/21, pp. 1767-1784

Persistent link: https://www.econbiz.de/10011589737

Credit default swaps and firm risk

Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692

Persistent link: https://www.econbiz.de/10014432924

Market co-movement between credit default swap curves and option volatility surfaces

Shi, Yukun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 82 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013426474

Stock price default boundary : a Black-Cox model approach

Shi, Yunkun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013455157

How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns

Konstantinidi, Eirini; Skiadopoulos, George - 2014

measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of …

Persistent link: https://www.econbiz.de/10010472838

Momentum and default risk : some results using the jump component

González-Urteaga, Ana; Muga, Luis; Santamaría … - In: International review of financial analysis 40 (2015), pp. 185-193

Persistent link: https://www.econbiz.de/10011475738

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a downward sloping term structure of low-frequency variance...

Persistent link: https://www.econbiz.de/10011412294

Volatility risk premium in the interest rate market : evidence from delta-hedged gains on USD interest rate swaps

Byun, Suk Joon; Chang, Ki Cheon - In: International review of financial analysis 40 (2015), pp. 88-102

Persistent link: https://www.econbiz.de/10011475633

Do central bank foreign exchange interventions affect market expectations?

Marins, Jaqueline Terra Moura; Araújo, Gustavo Silva; … - In: Applied economics 49 (2017) 31/33, pp. 3017-3031

Persistent link: https://www.econbiz.de/10011773166

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