This study discusses how to compute and forecast long-term stock return volatilities, typically with a 5-year horizon or longer, using credit derivatives, and how such volatilities can be used in different areas ranging from the valuation of employee stock options and other long-term derivatives...

In this paper we compare equity- and credit investors’ opinions on the price formation in the equity market. More exactly, we invert the CreditGrades model in order to back out credit-implied stock prices and stock return volatilities from credit default swap spreads for the firms in the DJIA...

I use Google News TM to study the relation between news volumes and stock market volatilities. More than nine million stock market-related news stories in English and (Mandarin) Chinese are collected and the dynamics of the news volume and the stock market volatility is compared in both the...

This study discusses how to compute and forecast long-term stock return volatilities, typically with a 5-year horizon or longer, using credit derivatives, and how such volatilities can be used in different areas ranging from the valuation of employee stock options and other long-term derivatives...

I use Google News TM to study the relation between news volumes and stock market volatilities. More than nine million stock market-related news stories in English and (Mandarin) Chinese are collected and the dynamics of the news volume and the stock market volatility is compared in both the...

We look at the link between the volatility in the Bitcoin market and the volatility in other related traditional markets, i.e. the gold, currency and stock market. We also try to answer if the volatility in the Bitcoin market can be explained by retail investor-driven internet search volumes or,...