Exploring Statistical Arbitrage Opportunities in the Term Structure of CDS Spreads
Speaker:
Haitao Li, University of Michigan
Date and Time:
Friday, April 23, 2010 - 3:40pm to 4:00pm
Location:
Fields Institute, Room 230
Abstract:
We show how high-frequency data can be used to detect the leverage effect, and explain why extra caution has to be used when one studies the leverage effect based on the asymptotic results of the high-frequency volatility estimators.
