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Asset Volatility Maria Correia London Business School [email protected] Johnny Kang AQR Capital Management LLC [email protected] Scott Richardson London Business School…
8/7/2019 A Theory of Volatility Spreads 1/29Working Paper No. RHS-06-028January 2006A Theory of Volatility SpreadsGurdip BakshiDilip MadanThis Paper can be d ownloa ded without…
Fundamentals Support Low Volatility, Tight Spreads (Capital Market Research) (Weekly Market Outlook)CAPI TAL MAR KETS R ESEAR CH Moody’s Analytics markets and distributes
Fixed-Income Research January 13, 2003 Bruce Tuckman 212-526-2252 [email protected] Measures of Asset Swap Spreads and their Corresponding Trades Asset swap spreads…
October 5, 2011 M O R G A N S T A N L E Y R E S E A R C H Global Morgan Stanley & Co. LLC Sivan Mahadevan Ronald Leven Hussein Allidina Christopher Metli Ashley Musfeldt…
BIS Papers No 2 197 Trading volumes, volatility and spreads in FX markets: evidence from emerging market countries Gabriele Galati, Bank for International Settlements Abstract…
Volatility Spreads and Earnings Announcement Returns Yigit Atilgan� Abstract Prior research documents that volatility spreads predict stock returns. If the trading activity…
Realized Volatility, Liquidity, and Corporate Yield Spreads Marco Rossi ∗ December 7, 2009 Abstract This study revisits the relative role of credit risk and illiquidity…
Implied Volatility Spreads and Expected Market Returns Yigit Atilgan Turan G Bali and K Ozgur Demirtas� Abstract This paper investigates the intertemporal relation between…
© Western Asset Management Company 2018 This publication is the property of Western Asset Management Company and is intended for the sole use of its clients consultants…
V O L AT I L I T Y A S A N A S S E T C L A S S By Cliff Stanton CFA, Chief Investment Officer, Prima Capital The Potential of the VIX as a Hedging Tool and the Shortcomings…
7/29/2019 Volatility Asset Management 1/22PLEASE SEE THE DISLAI MER AND DISCLOSURES AT THE END OF THIS REPORT. The information set forth herein has been obtained or derived…
The Puzzle and Its Solution Aleksey Semenov Submitted in partial fulfillment of the requirements for the degree of Doctor of Philosophy under the Executive Committee of the
1 European Asset Swap Spreads and the Credit Crisis Wolfgang Aussenegg(a), Lukas Götz(b), and Ranko Jelic(c)* (a) Department of Finance and Corporate Control, Vienna University…
1. Redington13-15 Mallow StreetLondon EC1Y 8RD020 7250 3331www.redington.co.ukAsset Swaps to Z-spreadsRSA House23rd September, 2010 2. -80-60-40-2002040608010012002-Jan-07…
BIS WORKING PAPERS No 93 – October 2000 TRADING VOLUMES VOLATILITY AND SPREADS IN FOREIGN EXCHANGE MARKETS: EVIDENCE FROM EMERGING MARKET COUNTRIES by Gabriele Galati BANK…
BIS WORKING PAPERS No 93 – October 2000 TRADING VOLUMES, VOLATILITY AND SPREADS IN FOREIGN EXCHANGE MARKETS: EVIDENCE FROM EMERGING MARKET COUNTRIES by Gabriele Galati…
Trading volumes, volatility and spreads in foreign exchange markets: evidence from emerging market countries - BIS Working Papers No. 93 - October 2000EVIDENCE FROM EMERGING
Unied Framework Redouane Elkamhi We demonstrate that incorporating severe economic conditions in a consumption- based equilibrium model can jointly explain empirical facts
Idiosyncratic volatility has an impact on corporate bond spreads: Empirical evidence from Chinese bond markets SU-SHENG WANG1 JIE-MIN HUANG1 KAI CHANG2 JIE-YONG HUANG3 XI…