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In this study, we derive a CDS implied equity volatility index from highly liquid one-year contracts in the Eurozone …, and for the inclusive period 2008-2014. We analyze the relationship between this volatility index and the VSTOXX 12M … relationship between the two volatility indices in which the CDS implied index plays the leading role …
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Extending price momentum tests to the longest available histories of global financial assets, including country equities, government bonds, currencies, commodities, sectors and U.S. stocks, we create a 215-year history of cross-sectional multi-asset momentum, and confirm the significance of the...
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