state dependent diffusion volatility following the constant elasticity of variance (CEV) process for the variables of … constant volatility (zero elasticity) assumption of earlier studies. We find that the elasticity is significantly different … from zero for most of the firms in our sample, and that the CEV model performs much better than constant volatility in …

volatility and jump risks of individual firms from a unique dataset of high-frequency CDS spreads. I find that the volatility …. In the cross-section I find that volatility risk can explain 63% of the variation in the credit spreads whilst jump risk … forecasts 55%. For the CDX index I find that the volatility risk alone predicts 22% of the variation in the CDX index levels …

and volatility risk in the dynamics of asset value in debt rollover models. Using an innovative theoretical approach we … values from empirical studies that volatility risk, together with deteriorating bond market liquidity, decrease both debt and …

, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …-bond volatility relation is important even after controlling for equity volatility. The relation between yield spreads and … investment-grade sub-sample, consistent with credit risk being relatively more important for understanding the yield spread-volatility …

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 …

credit spreads and equity volatility. I build a dynamic model and estimate a wide array of fundamental shocks using a large … to 2014. A structural decomposition reveals that the joint dynamics of credit spreads and equity volatility is driven by … fluctuations in firms' asset values and aggregate asset volatility. I find that aggregate asset volatility captures the …

endogenous movements provide a propagation mechanism. The model can match the persistence and volatility of output growth as well …

endogenous movements provide a propagation mechanism. The model can match the persistence and volatility of output growth as well …