We are grateful for the valuable comments of session participants at the 2008 French Finance Association meeting, the 2010 meeting of the Southwestern Finance Association (SWFA) in Dallas, Texas and the 2010 meeting of the Eastern Finance Association (EFA) in Miami, Florida. We also would like to thank the editor and an anonymous referee for helpful comments and suggestions. Partial funding for this work was provided by the Florida International Bankers Association (FIBA).
Credit Spread Changes and Equity Volatility: Evidence from Daily Data
Version of Record online: 7 JUL 2011
© 2011, The Eastern Finance Association
Volume 46, Issue 3, pages 357–383, August 2011
How to Cite
Hibbert, A. M., Pavlova, I., Barber, J. and Dandapani, K. (2011), Credit Spread Changes and Equity Volatility: Evidence from Daily Data. Financial Review, 46: 357–383. doi: 10.1111/j.1540-6288.2011.00304.x
- Issue online: 7 JUL 2011
- Version of Record online: 7 JUL 2011
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