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

被引：7

作者：

Forte, Santiago ^{[1
]}

Lovreta, Lidija ^{[2
]}

机构：

[1] Ramon Llull Univ, ESADE Business Sch, Av Torreblanca 59, Barcelona 08172, Spain

[2] EADA Business Sch, C Arago 204, Barcelona 08011, Spain

来源：

FINANCE RESEARCH LETTERS | 2019年 / 28卷

关键词：

CDS market; Options market; Implied volatility; Fractional cointegration; Volatility discovery; CORPORATE-DEBT; MODELS; BANKRUPTCY; DEFAULT;

D O I：

10.1016/j.frl.2018.04.015

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：107 / 111

页数：5

共 50 条

[11] Illiquidity Premia in the Equity Options Market
Christoffersen, Peter
Goyenko, Ruslan
Jacobs, Kris
Karoui, Mehdi
REVIEW OF FINANCIAL STUDIES, 2018, 31 (03): : 811 - 851
[12] The Chinese equity index options market
Yue, Tian
Zhang, Jin E.
Tan, Eric K. M.
EMERGING MARKETS REVIEW, 2020, 45
[13] Volatility spillovers in the European bank CDS market
Alemany, Aida
Ballester, Laura
Gonzalez-Urteaga, Ana
FINANCE RESEARCH LETTERS, 2015, 13 : 137 - 147
[14] Is equity market volatility driven by migration fear?
Czudaj, Robert L.
FINANCE RESEARCH LETTERS, 2018, 27 : 34 - 37
[15] The pricing of volatility risk in the US equity market
Hitz, Lukas
Mustafi, Ismail H.
Zimmermann, Heinz
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2022, 79
[16] Intraday Volatility Forecast in Australian Equity Market
Singh, Abhay K.
Allen, David E.
Powell, Robert J.
20TH INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION (MODSIM2013), 2013, : 1312 - 1318
[17] Economic freedom, equity performance and market volatility
Chen, Carl R.
Huang, Ying Sophie
INTERNATIONAL JOURNAL OF ACCOUNTING AND INFORMATION MANAGEMENT, 2009, 17 (02) : 189 - +
[18] Implied volatility index for the Norwegian equity market
Bugge, Sebastian A.
Guttormsen, Haakon J.
Molnar, Peter
Ringdal, Martin
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2016, 47 : 133 - 141
[19] Entropy as a measure of implied volatility in Options Market
Taneja, H. C.
Batra, Luckshay
Gaur, Pulkit
THIRD INTERNATIONAL CONFERENCE OF MATHEMATICAL SCIENCES (ICMS 2019), 2019, 2183
[20] YES, YOU CAN BEAT THE MARKET
PARE, TP
FORTUNE, 1995, 131 (06) : 68 - &

← 1 2 3 4 5 →