Assessment of the Russian stock market volatility impact on credit spreads of Russian corporate bonds
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References listed on IDEAS
- Li, Xiao-Lin & Li, Xin & Si, Deng-Kui, 2020. "Asymmetric determinants of corporate bond credit spreads in China: Evidence from a nonlinear ARDL model," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Ann Marie Hibbert & Ivelina Pavlova & Joel Barber & Krishnan Dandapani, 2011. "Credit Spread Changes and Equity Volatility: Evidence from Daily Data," The Financial Review, Eastern Finance Association, vol. 46(3), pages 357-383, August.
- Bansal, Naresh & Connolly, Robert A. & Stivers, Chris, 2014. "The Stock-Bond Return Relation, the Term Structure’s Slope, and Asset-Class Risk Dynamics," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 699-724, June.
- Lee, Hwang Hee & Hyun, Jung-Soon, 2019. "The asymmetric effect of equity volatility on credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 125-136.
- Daniel Jubinski & Amy F. Lipton, 2012. "Equity volatility, bond yields, and yield spreads," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(5), pages 480-503, May.
- Doron Avramov & Gergana Jostova & Alexander Philipov, 2007. "Understanding Changes in Corporate Credit Spreads," Financial Analysts Journal, Taylor & Francis Journals, vol. 63(2), pages 90-105, March.
- Bewley, Ronald & Rees, David & Berg, Paul, 2004. "The impact of stock market volatility on corporate bond credit spreads," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(3), pages 363-372.
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More about this item
Keywords
credit spreads; volatility; corporate bonds; coupon-free yield curve; imputed volatility; EGARCH; VAR;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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