Volatility feedback and dealership position: Evidence from the CDS Index, Corporate Bonds, and Government Bonds
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DOI: 10.1016/j.frl.2024.106176
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More about this item
Keywords
CDS index; Corporate bonds; Volatility feedback; Dealers’ positions; Swaption-implied volatility smirk;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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