Article ID Journal Published Year Pages File Type
5085074 International Review of Financial Analysis 2012 9 Pages PDF
Abstract
► Lead-lag dependence between aggregate credit spreads, equity prices, implied equity volatility. ► Analysis includes daily quotes of the iTraxx Europe index. ► Estimate a vector autoregressive (VAR) model. ► Question predictions of structural models during periods of market stress.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis
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