Arbeitspapier
Credit-Implied Equity Volatility – Long-Term Forecasts and Alternative Fear Gauges
This study discusses how to compute and forecast long-term stock return volatilities, typically with a 5-year horizon or longer, using credit derivatives, and how such volatilities can be used in different areas ranging from the valuation of employee stock options and other long-term derivatives to the construction of market-based fear gauges in selected countries or market segments. In the empirical part of the paper I focus on the European financial sector and find the credit-implied volatilities and fear gauges to behave well. The forecasting accuracy of the credit-implied volatilities is found to be better than that of horizon-matched historical volatilities.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2014:34
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
- Thema
-
credit default swaps
implied volatility
CreditGrades
VIX
fear gauge
long-term forecast
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Byström, Hans
- Ereignis
-
Veröffentlichung
- (wer)
-
Lund University, School of Economics and Management, Department of Economics
- (wo)
-
Lund
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Byström, Hans
- Lund University, School of Economics and Management, Department of Economics
Entstanden
- 2014
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