Explaining credit default swap spreads with equity volatility and jump risks of individual firms
Download full text from publisher
References listed on IDEAS
- Mella-Barral, Pierre & Perraudin, William, 1997. " Strategic Debt Service," Journal of Finance, American Finance Association, vol. 52(2), pages 531-556, June.
- John Y. Campbell & Glen B. Taksler, 2003.
"Equity Volatility and Corporate Bond Yields,"
Journal of Finance,
American Finance Association, vol. 58(6), pages 2321-2350, December.
- John Y. Campbell & Glen B. Taksler, 2002. "Equity Volatility and Corporate Bond Yields," NBER Working Papers 8961, National Bureau of Economic Research, Inc.
- John Y. Campbell & Glen B. Taksler, 2002. "Equity Volatility and Corporate Bond Yields," Harvard Institute of Economic Research Working Papers 1945, Harvard - Institute of Economic Research.
- Campbell, John & Taksler, Glen, 2003. "Equity Volatility and Corporate Bond Yields," Scholarly Articles 3153307, Harvard University Department of Economics.
- Drost, Feike C & Nijman, Theo E & Werker, Bas J M, 1998.
"Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 16(2), pages 237-243, April.
- Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994. "Estimation and testing in models containing both jumps and conditional heteroskedasticity," Discussion Paper 1994-105, Tilburg University, Center for Economic Research.
- Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 1997.
" Empirical Performance of Alternative Option Pricing Models,"
Journal of Finance,
American Finance Association, vol. 52(5), pages 2003-2049, December.
- Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers ysm54, Yale School of Management.
- Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers ysm65, Yale School of Management.
- Meddahi, Nour & Mykland, Per & Shephard, Neil, 2011. "Realized Volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 1-1, January.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Scheicher, Martin, 2008. "How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches," Working Paper Series 910, European Central Bank.
- Hayette Gatfaoui, 2010.
"Investigating the dependence structure between credit default swap spreads and the U.S. financial market,"
Annals of Finance,
Springer, vol. 6(4), pages 511-535, October.
- Hayette Gatfaoui, 2010. "Investigating the Dependence Structure between Credit Default Swap Spreads and the U.S. Financial Market," Post-Print hal-00565525, HAL.
- Marc Peters & Hugues Pirotte, 2014. "Unveiling Sovereign Effects in European Banks CDS Spreads Variations," Working Papers CEB 14-018, ULB -- Universite Libre de Bruxelles.
- Antonio Di Cesare & Giovanni Guazzarotti, 2010. "An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil," Temi di discussione (Economic working papers) 749, Bank of Italy, Economic Research and International Relations Area.
- Das, Sanjiv R. & Hanouna, Paul & Sarin, Atulya, 2009. "Accounting-based versus market-based cross-sectional models of CDS spreads," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 719-730, April.
- Landschoot, Astrid Van, 2008. "Determinants of yield spread dynamics: Euro versus US dollar corporate bonds," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2597-2605, December.
- Calice, Giovanni, 2011. "The Impact of Collateral Policies on Sovereign CDS Spreads," ECMI Papers 12234, Centre for European Policy Studies.
- Chen, Yi-Hsuan & Tu, Anthony H. & Wang, Kehluh, 2008. "Dependence structure between the credit default swap return and the kurtosis of the equity return distribution: Evidence from Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(3), pages 259-271, July.
- Anderson, Ronald W. & Carverhill, Andrew, 2007. "Liquidity and Capital Structure," CEPR Discussion Papers 6044, C.E.P.R. Discussion Papers.
- Eliana Angelini & Elisa Di Febo, 2014. "CDS Spreads: an Empirical Analysis on the Determinants," Journal of Empirical Economics, Research Academy of Social Sciences, vol. 2(2), pages 70-87.
- repec:wsi:ijtafx:v:14:y:2011:i:02:n:s0219024911006383 is not listed on IDEAS
- repec:onb:oenbwp:y::i:152:b:1 is not listed on IDEAS
- Scheicher, Martin & Raunig, Burkhard, 2008. "A value at risk analysis of credit default swaps," Discussion Paper Series 2: Banking and Financial Studies 2008,12, Deutsche Bundesbank, Research Centre.
- Hasan, Iftekhar & Siddique, Akhtar & Sun, Xian, 2015. "Monitoring the “invisible” hand of market discipline: Capital adequacy revisited," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 475-492.
- Anderson, Ronald W. & Carverhill, Andrew, 2006. "Liquidity and capital structure," LSE Research Online Documents on Economics 24632, London School of Economics and Political Science, LSE Library.
- Stuart M. Turnbull & Jun Yang, 2008. "Default Dependence: The Equity Default Relationship," Staff Working Papers 08-1, Bank of Canada.
- Scheicher, Martin & Fender, Ingo, 2009. "The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices," Working Paper Series 1056, European Central Bank.
- Wang, Peipei & Bhar, Ramaprasad, 2014. "Information content in CDS spreads for equity returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 55-80.
- Christopher Baum & Chi Wan, 2010.
"Macroeconomic uncertainty and credit default swap spreads,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 20(15), pages 1163-1171.
- Christopher F Baum & Chi Wan, 2009. "Macroeconomic Uncertainty and Credit Default Swap Spreads," Boston College Working Papers in Economics 724, Boston College Department of Economics, revised 03 Mar 2010.
- Tauchen, George & Zhou, Hao, 2011.
"Realized jumps on financial markets and predicting credit spreads,"
Journal of Econometrics,
Elsevier, vol. 160(1), pages 102-118, January.
- George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series 2006-35, Board of Governors of the Federal Reserve System (U.S.).
- Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series 2008-55, Board of Governors of the Federal Reserve System (U.S.).
More about this item
Keywordsstructural model; stochastic volatility; jumps; credit spread; credit default swap; nonlinear effect; high frequency data;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bis:biswps:181. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Beslmeisl). General contact details of provider: http://edirc.repec.org/data/bisssch.html .