arbitrage-free equity default swap rates and compare them with corresponding CDS rates …

This paper empirically analyzes in a time-varying context if the U.S. corporate Credit Default Swaps (CDS) and bond … OTC traded CDS. The analysis shows that frictions in the theoretical CDS bond parity are larger the lower the reference …

to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of …