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Discontinuous asset prices and non-attainable contingent claims

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Characteristic of Implied Volatility of CDSwaptions in ITraxx Market and its Relationship to Stock Market

Bhar, Ramaprasad - 2009

We investigate the characteristic of implied volatility in CDS market and its relationship with stock market within European area. The comprehensive analysis show that stock market weakly leads CDS market on daily changes but for implied volatility, the stock market leads CDS market, and VECM...

Persistent link: https://www.econbiz.de/10013159892