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The effect of interest rate volatility and equity volatility on corporate bond yield spreads : a comparison of noncallables and callables
Kim, Dong H.; Stock, Duane R. - In: The journal of corporate finance : contracting, … 26 (2014), pp. 20-35
Persistent link: https://www.econbiz.de/10010382670
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Synthetic Options and Implied Volatility for the Corporate Bond Market
Chen, Steven Shu-Hsiu; Doshi, Hitesh; Seo, Sang Byung - 2021
We synthetically create option contracts on a corporate bond index using CDX swaptions, overcoming the limitations that stem from the lack of traded corporate bond options. Our approach allows us to estimate forward-looking moments concerning the corporate bond market in a model-free manner. By...
Persistent link: https://www.econbiz.de/10013322828
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Jump and volatility risk in the cross-section of corporate bond returns
Chen, Xi; Wang, Junbo; Wu, Chunchi - In: Journal of financial markets 60 (2022), pp. 1-29
Persistent link: https://www.econbiz.de/10013397876
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Synthetic options and implied volatility for the corporate bond market
Chen, Steven Shu-Hsiu; Doshi, Hitesh; Seo, Sang Byung - In: Journal of financial and quantitative analysis : JFQA 58 (2023) 3, pp. 1295-1325
Persistent link: https://www.econbiz.de/10014309492
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Market linkage and information spillover : evidence from pre-crisis, crisis, and recovery periods
Ding, Liang; Pu, Xiaoling - In: Journal of economics & business 64 (2012) 2, pp. 145-159
Persistent link: https://www.econbiz.de/10009551800
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Dance with the devil? : the nexus of fourth industrial revolution, technological financial products and volatility spillovers in global financial system
Umar, Muhammad; Rizvi, Kumail Abbas; Naqvi, Bushra - In: Technological forecasting & social change : an … 163 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012667288
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Dynamic linkages between implied volatility indices of developed and emerging financial markets : an econometric approach
Gupta, Divya; Kamilla, Usha - In: Global business review 16 (2015) 5, pp. 46-57
Persistent link: https://www.econbiz.de/10011410378
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Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market
López, Raquel - In: International review of financial analysis 42 (2015), pp. 292-303
Persistent link: https://www.econbiz.de/10011573500
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Do spillover effects between crude oil and natural gas markets disappear? : evidence from option markets
Zhu, Fangfei; Zhu, Yabei; Jin, Xuejun; Luo, Xingguo - In: Finance research letters 24 (2018), pp. 25-33
Persistent link: https://www.econbiz.de/10011982448
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Jump dynamics, spillover effect and option valuation
Pan, Zhiyuan; Shuai, Jiangyu; Liang, Zhilei; Sun, Xianchao - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013534098