Credit Spreads, Leverage and Volatility: A Cointegration Approach
This work documents the existence of a cointegration relationship between credit spreads, leverage and equity volatility for a large set of US companies. It is shown that accounting for the long-run equilibrium dynamic between these variables is essential to correctly explain credit spread changes....
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-09-01
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| Series: | Computation |
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| Online Access: | https://www.mdpi.com/2079-3197/10/9/155 |