Bhar, Ramaprasad; Colwell, David B.; Wang, Peipei - In: International Journal of Financial Markets and Derivatives 3 (2012) 1, pp. 36-44
We apply a Markov switching model to investigate the possibility of an asymmetric causal relationship between the volatility process inferred from the iTraxx CDS options market and the implied volatility from the stock index options market. We find strong evidence that the stock market leads the...