The impact of stock market volatility on corporate bond credit spreads. (Q1427748)
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scientific article; zbMATH DE number 2055932
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The impact of stock market volatility on corporate bond credit spreads. |
scientific article; zbMATH DE number 2055932 |
Statements
The impact of stock market volatility on corporate bond credit spreads. (English)
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14 March 2004
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Forecasting
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GARCH
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Implied volatility
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VAR
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0.7391215562820435
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0.7160133719444275
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0.7127836346626282
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