realized defaults. Furthermore, it predicts future equity and corporate bond returns, even after controlling for many existing …

to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of …