Volatility Spillover among CDS, Equities and Bonds during the 2007-2010 financial crisis: Evidence from the U.S. Market.

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Volatility Spillover among CDS, Equities and Bonds during the 2007-2010 financial crisis: Evidence from the U.S. Market.

This study examines the volatility transmission between credit default swap (CDS), bonds and equities for U.S. corporate entities during the recent financial crisis. The study sample covers the 2005-2010 period and is separated in two parts – pre-crisis period and crisis period. The separation of th...

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Bibliographic Details
Main Author:	Bozhidarov, Kaloyan
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2011
Online Access:	https://eprints.nottingham.ac.uk/25006/

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