We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets … and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility … fundamental difference in the cross-sectional predictability of asset and equity volatility. This difference lies in the leverage …

stock return data, which includes both features and allows the co-existence of long memory in volatility and short memory in … returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage …

volatility for a large set of US companies. It is shown that accounting for the long-run equilibrium dynamic between these …'s assets and volatility is developed. The proposed model allows to significantly reduce the pricing errors in predicting credit … when regressing a set of explanatory variables onto the spread changes. Once credit spreads, leverage and volatility are …