The contribution of this paper is two-fold. First we show how to estimate the volatility of high frequency log-returns where the estimates are not a affected by microstructure noise and the presence of Lévy-type jumps in prices. The second contribution focuses on the relationship between the...

This paper uses an exclusive proprietary data set of European Credit Derivatives and VIX markets, covering a sample of 5 to 7 years, to study the nature of the theoretical link between credit risk and market risk, originally postulated in the work of Merton. This allows us to establish...