Volatility discovery: Can the CDS market beat the equity options market?

Santiago Forte, Lidija Lovreta

Producció científica: Article en revista indexadaArticleAvaluat per experts

6 Cites (Scopus)

Resum

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.

Idioma originalAnglès
Pàgines (de-a)107-111
Nombre de pàgines5
RevistaFinance Research Letters
Volum28
DOIs
Estat de la publicacióPublicada - de març 2019
Publicat externament

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