Schreiber, Irene; Müller, Gernot; Klüppelberg, Claudia; … - In: International Review of Financial Analysis 24 (2012) C, pp. 57-65
We study the lead–lag dependence between aggregate credit spreads and equity prices as well as implied equity volatility, which is important for proper credit risk assessment. Our analysis includes daily quotes of the iTraxx Europe index, the Dow Jones Euro Stoxx 50 index, and the Dow Jones...
