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- W3125295079 abstract "The linear rescaling of the variance of an asset's return is used by many asset pricing models when an annualised risk coefficient is required. However, this approach may not be appropriate for time series, which are not independent and identically distributed (IID). This paper investigates the scaling relationships for daily credit spreads, from January 1995 to May 1998, between AAA-, AA-, and A-rated Australian dollar denominated Eurobonds with maturities of 2, 5, 7, and 10 years. The credit spread return all display similar scaling properties with the estimated standard deviation, based upon a scaling at the square root of time, significantly underestimating the actual level of risk predicted from a normal distribution. These results have implications for risk managers and trading of credit spread instruments." @default.
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- W3125295079 date "2002-01-01" @default.
- W3125295079 modified "2023-09-27" @default.
- W3125295079 title "Scaling the volatility of credit spreads" @default.
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- W3125295079 doi "https://doi.org/10.1016/s1057-5219(02)00079-0" @default.
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