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http://ssrn.com/abstract=1279786
 
 

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CDXIG Index, VIX and the Swap Curve Slope: A Study in Cross-Market Statistical Arbitrage


Pavan Gadiraju


affiliation not provided to SSRN

October 6, 2008


Abstract:     
This article tries to track the CDXIG index 5y spreads by studying the effect of Equity Index Volatility (by employing VIX levels) and 5/10 US swap curve slope (calculated as the difference between the 10yr and 5yr swap rates) on the index spreads by employing an OLS regression within the premise of a partial adjustment model. After a through examination of the interplay of the chosen variables with the Index spreads, an identification of major VIX level/Swap curve slope regimes is made to help identify/quantify a long-short statistical arbitrage trading strategy.

Number of Pages in PDF File: 50

Keywords: Partial adjustment model, Statistical arbitrage

JEL Classification: C15, C22, C32, C51, C52, C53

working papers series


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Date posted: October 7, 2008  

Suggested Citation

Gadiraju, Pavan, CDXIG Index, VIX and the Swap Curve Slope: A Study in Cross-Market Statistical Arbitrage (October 6, 2008). Available at SSRN: http://ssrn.com/abstract=1279786 or http://dx.doi.org/10.2139/ssrn.1279786

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Pavan Gadiraju (Contact Author)
affiliation not provided to SSRN ( email )
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