Credit-Implied Equity Volatility – Long-Term Forecasts and Alternative Fear Gauges
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- Hans Byström, 2015. "Credit‐Implied Equity Volatility—Long‐Term Forecasts and Alternative Fear Gauges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(8), pages 753-775, August.
References listed on IDEAS
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More about this item
Keywordscredit default swaps; implied volatility; CreditGrades; VIX; fear gauge; long-term forecast;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-11-12 (All new papers)
- NEP-FMK-2014-11-12 (Financial Markets)
- NEP-FOR-2014-11-12 (Forecasting)
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