Publicação
Exploiting the cointrgration between vix and CDS in a credit market timing model
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Rodrigues, Paulo Manuel Marques | |
| dc.contributor.author | Ricciardi, Andrea | |
| dc.date.accessioned | 2016-03-23T14:25:25Z | |
| dc.date.available | 2016-03-23T14:25:25Z | |
| dc.date.issued | 2016-01 | |
| dc.description.abstract | We investigate the cointegration between VIX and CDS indices, and the possibility of exploiting it in an existing credit market timing investment model. We find cointegration over most of the sample period and the leadership of VIX over the CDS in the price discovery process. We present two methods for including cointegration into the model. Both strategies improve the in-sample and out-of-sample model performances, even though out-of-sample results are weaker. We find that in-sample better performances are explained by a stronger cointegration, concluding that in the presence of cointegration our strategies can be profitable in an investment model that considers transaction costs. | pt_PT |
| dc.identifier.tid | 201474336 | |
| dc.identifier.uri | http://hdl.handle.net/10362/16869 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Cointegration | pt_PT |
| dc.subject | VIX | pt_PT |
| dc.subject | Credit default swaps | pt_PT |
| dc.subject | Pairs trading | pt_PT |
| dc.title | Exploiting the cointrgration between vix and CDS in a credit market timing model | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |
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