CDS volatility: the key signal of credit quality

DOI10.1007/S10479-012-1244-9MaRDI QIDQ2393344zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

credit default swapsevent studyexponential GARCH

Mathematics Subject Classification ID

Credit risk (91G40)

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Cites work

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

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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