Liu, T.

index market sector credit price spread system ii smove relationship system volatility period variable oil price 0.000000 stock table level default trend result stock market measure model chemical oil-related information cointegration utility credit risk cointegrating journal response subperiod intercept shock auto cds spread january adjustment analysis error oil-related sectors oil prices equity option panel equation 1.00000 gas cds spread change cds market future paper equilibrium utility cds index value cds sector indexes interest system i market risk difference &p 500 index auto sector recovery return _chem _util _pric _auto _oilga sample price discovery exogeneity bond market cointegrating vectors t-statistic discovery volatility index correlation literature