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.

引用

页码：107 / 111

页数：5

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