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28 Credit Spreads and Equity Volatility during Periods of Financial Turmoil Fail1 Credit Spreads and Equity Volatility during Periods of Financial Turmoil By Katrin Gottschalk…

International Journal of Scientific Engineering Research Volume 7 Issue 11 November-2016 1948 ISSN 2229-5518 IJSER © 2016 http:wwwijserorg THE LOW VOLATILITY PUZZLE: EVIDENCE…

The VIX-VIX Futures Puzzle⇤ Ivan O. Asensio† This version June 2013 Abstract Analysis of the information content of the VIX term structure reveals a persistent forecast…

The VIX-VIX Futures Puzzle⇤ Ivan Oscar Asensio† October 2013 Abstract Ex ante forecasts of future changes in the level of the VIX implied by the VIX term structure overshoot…

M A Y 2 0 0 51 E Q U I T Y D E R I V A T I V E S J U S T W H A T Y O U N E E D T O K N O W A B O U T V A R I A N C E S W A P S Sebastien Bossu Eva Strasser Regis Guichard…

Munich Personal RePEc Archive Some solutions to the equity premium and volatility puzzles Li Jinlu Shawnee State University 6 January 2010 Online at https:mpraubuni-muenchende26833…

The VIX-VIX Futures Puzzle⇤ Ivan Oscar Asensio† October 2013 Abstract Ex ante forecasts of future changes in the level of the VIX, implied by the VIX term structure,…

BID-ASK SPREADS, TRADING VOLUME AND VOLATILITY: INTRA-DAY EVIDENCE FROMTHE LONDON STOCK EXCHANGE A. Abhyankar, D. Ghosh, E. Levin and R.J. Limmack* INTRODUCTION Recent empirical…

Equilibrium Model LOIS Formula Empirical corroboration EUR market 15082007 � 16042012 The Whys of the LOIS: Credit Skew and Funding Spread Volatility Stéphane Crépey…

OFFICE OF FINANCIAL RESEARCH U.S. DEPARTMENT OF THE TREASURY       Office of Financial Research  Working Paper #0005  February 7, 2013      Systematic Scenario Selection …

2 Instalare baterii Eliberati capacul din spatele consolei si introduceti 3 baterii AAA Verificati marcajele “+” “-“ Atentie: 1 Urmati instructiunile cu atentie folositi…

On Credit Spreads Credit Spread Options and Implied Probabilities of Default John Hatgioannides1 Faculty of Finance Cass Business School UK and George Petropoulos Eurobank…

Disentangling Credit Spreads and Equity Volatility∗ CLICK HERE FOR LATEST VERSION Adrien d’Avernas† January 31, 2017 Abstract In this paper, I provide a structural…

BIS Working Papers No 805 Exchange rate puzzles: evidence from rigidly fixed nominal exchange rate systems by Charles Engel and Feng Zhu Monetary and Economic Department…

1 GLOBAL ECONOMICS FX STRATEGY FOREIGN EXCHANGE OUTLOOK Visit our website at scotiabankcomeconomics Follow us on Twitter at @ScotiaEconomics Contact us by email at scotiaeconomics@scotiabankcom…

Bond Markets in Africa Yibin Mu, Peter Phelps, and Janet G. Stotsky WP/13/12 © 2013 International Monetary Fund WP/13/ IMF Working Paper African Department Bond Markets…

Slide 1 Slide 2 Calendar Spreads Slide 3 Slide 4 Slide 5  A calendar spread involves selling a front month short and buying a back month long at the same strike.  The…

October 2017 Investment Committee Asset Management & Products 1 2 Summary • Market action since the previous Investment Strategy • Current Asset Class valuation:…

The Smart Beta Indexing Puzzle∗ Zélia Cazalet Quantitative Research Lyxor Asset Management Paris zeliacazalet@lyxorcom Pierre Grison Quantitative Research Lyxor Asset…