Volatility discovery: Can the CDS market beat the equity options market?

被引：7
|
作者：
Forte, Santiago [1 ]
Lovreta, Lidija [2 ]
机构：
[1] Ramon Llull Univ, ESADE Business Sch, Av Torreblanca 59, Barcelona 08172, Spain
[2] EADA Business Sch, C Arago 204, Barcelona 08011, Spain
来源：
FINANCE RESEARCH LETTERS | 2019年 / 28卷
关键词：
CDS market; Options market; Implied volatility; Fractional cointegration; Volatility discovery; CORPORATE-DEBT; MODELS; BANKRUPTCY; DEFAULT;
D O I：
10.1016/j.frl.2018.04.015
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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 12 M within a fractionally cointegrated vector autoregressive (FCVAR) model. Our results confirm a stationary long-run equilibrium relationship between the two volatility indices in which the CDS implied index plays the leading role.
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页码：107 / 111
页数：5
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