This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface. The rapid development of the CDS market has provided convenient products to extract credit risk, and its interaction with equity volatility has been analyzed in many studies. However, in most of them the 5-year credit default swap spread is used to measure credit r...

financial markets are one of the most crucial markets in every country. stock exchange market and exchange market are the most sensitive sectors of financial market. these markets are affected by fluctuations and business cycles in the economy and they reflect economic changes to the economy. on the other hand, disturbance in one or both markets cause concerns among policy makers. dynamic inter...

this paper investigates the asymmetry in volatility of returns for the iranian stock market using the daily closing values of the tehran exchange price index (tepix) covering the period from march 25, 2001 to july 25, 2012, with a total of 2743 observations. to this end, two sets of tests have been employed: the first set is based on the residuals derived from a symmetric garch (1,1) model. the...

Most procedures for modeling and forecasting financial asset return volatilities rely on restrictive and complicated parametric GARCH or stochastic volatility models. The method of realized volatility constructed from high-frequency intraday returns is an alternative choice for volatility measurement. In this paper we make an empirical analysis on Chinese stock index data by using the method of...

Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity. This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used, including GARCH augmented with lagged trading volume and number of trades, tests based on moment restriction...

This paper investigates the price returns and volatility linkages between the foreign exchange (KRW) and stock (KOSPI) markets in Korea, using the cointegration test, and bivariate GJR-GARCH model. Our findings from empirical analysis are summarized as follows. First, there is no long-term equilibrium relationship between the KRW and KOSPI markets. Second, exogenous variables (yen/dollar exchan...

We investigate whether bonds can hedge volatility risk in the U.S. Treasury market, as predicted by most ‘affine’ term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed-maturity zero-coupon bonds (‘realized yield volatility’) through the use of high-frequency data. We find that the yield curve fai...

We investigate whether bonds can hedge volatility risk in the U.S. Treasury market, as predicted by most ‘affine’ term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed-maturity zero-coupon bonds (‘realized yield volatility’) through the use of high-frequency data. We find that the yield curve fai...

This paper studies the dynamic behavior of risks and returns in Chinese stock markets. We characterize the time-series properties of stock-market return and volatility and test the market e–ciency hypothesis. We estimate an empirical model that captures the efiect of local and global information variables on the conditional mean of stock-market returns and characterize the second order conditio...