Da Fonseca, José; Gottschalk, Katrin - In: Journal of International Money and Finance 49 (2014) PB, pp. 386-400
This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface for five European countries from 2007 to 2012, a sample period covering both the Global Financial Crisis (GFC) and the European debt crisis. We analyze to which...
