CDS volatility: the key signal of credit quality

DOI10.1007/S10479-012-1244-9zbMATH Open1269.91092OpenAlexW2070000838MaRDI QIDQ2393344FDOQ2393344

Authors: Rita L. D'Ecclesia, Rosella Castellano 

Publication date: 7 August 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11393/130614

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zbMATH Keywords

credit default swapsevent studyexponential GARCH

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach

Cited In (4)

• Volatility information difference between CDS, options, and the cross section of options returns
• Discovering the impact of systemic and idiosyncratic risk factors on credit spread of corporate bond within the framework of intelligent knowledge management
• A Markov switching re-evaluation of event-study methodology
• Temporal clustering of time series via threshold autoregressive models: application to commodity prices

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