Title:

Cross-Hedging Strategies between CDS Spreads and Option Volatility during Crises

Authors:

José da Fonseca (Auckland U Technology)
Katrin Gottschalk (Auckland U Technology)

Journal:

Journal of International Money and Finance

Year:

2014

Volume:

49

Pages:

386-400

JEL codes:

F34 - International Lending and Debt Problems
G1 - General Financial Markets
G13 - Contingent Pricing; Futures Pricing
G21 - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
H63 - Debt; Debt Management