The impact of stock market volatility on corporate bond credit spreads

Mathematics and Computers in Simulation

Volumn 64, Issue 3-4, 2004, Pages 363-372

  Bewley, Ronald ^a   Rees, David ^b   Berg, Paul ^b  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b Portfolio and Market Risk Management Department   (Australia)

Author keywords

Forecasting; GARCH; Implied volatility; VAR

Indexed keywords

DATA REDUCTION; FORECASTING; MATHEMATICAL MODELS; PROBLEM SOLVING; TIME SERIES ANALYSIS;

GARCH; IMPLIED VOLATILITY; VAR;

FINANCIAL DATA PROCESSING;

EID: 0942266799     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4754(03)00102-2     Document Type: Conference Paper

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