The impact of stock market volatility on corporate bond credit spreads.

DOI10.1016/S0378-4754(03)00102-2zbMath1102.91044OpenAlexW2003590164MaRDI QIDQ1427748

D. Massart

Publication date: 14 March 2004

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4754(03)00102-2

zbMATH Keywords

ForecastingVARGARCHImplied volatility

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Statistical analysis of cointegration vectors
• Generalized autoregressive conditional heteroscedasticity
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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