Lidija Lovreta

EADA Business School

CIF ESG08902645

C/ Aragó 204

Barcelona, CP 08011

Spain

SCHOLARLY PAPERS

2

DOWNLOADS

75

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Volatility Discovery: Can the CDS Market Beat the Equity Options Market?

Number of pages: 10 Posted: 20 Nov 2017
Santiago Forte and Lidija Lovreta
ESADE Business School, Ramon Llull University and EADA Business School
Downloads 57 (379,525)

Abstract:

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CDS market; options market; implied volatility; fractional cointegration; volatility discovery

2.

Implied Equity and Firm Asset Volatility in Credit Default Swap Premia

Number of pages: 61 Posted: 25 Jun 2019
Santiago Forte and Lidija Lovreta
ESADE Business School, Ramon Llull University and EADA Business School
Downloads 18 (553,725)

Abstract:

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Credit Default Swap, Implied Firm Asset Volatility, Implied Equity Volatility, Leverage Effect