Title Page

Abstract

Contents

1. Introduction 9

2. Literature review 10

3. Methodology of Jump Detection 13

4. Data 16

5. Summary Statistics 20

6. Forecasting Credit Spreads 31

7. Conclusion 42

국문요약 (Summary in Korean) 44

References 45

Curriculum Vitae 48

〈Table 1〉 Expected effect of explanatory variables 18

〈Table 2〉 Summary statistics of Intraday Returns and Realized Volatilities 21

〈Table 3〉 Jump Parameters Estimation 23

〈Table 4〉 Univariate forecasting regressions for weekly AA- credit spreads using stock index futures prices 33

〈Table 5〉 Pairwise forecasting regressions for credit spreads 35

〈Table 6〉 Multivariate forecasting regressions for weekly AA- credit spreads with stock index futures prices 37

〈Table 7〉 Multivariate forecasting regressions for weekly BBB- credit spreads with stock index futures 38

〈Table 8〉 Multivariate forecasting regressions for weekly AA- credit spreads with stock index spot 39

〈Table 9〉 Univariate regressions for weekly changes of credit spreads 41

〈Figure 1〉 Time-varying Realized Volatility and Jump Parameters of KOSPI200 Futures prices 25

〈Figure 2〉 Time-varying Realized Volatility and Jump Parameters of KOSPI200 Index Spot prices 26

〈Figure 3〉 Time-varying Realized Volatility and Jump Parameters of Won/Dollar Futures prices 27

〈Figure 4〉 Dynamics of Credit Spread and Jump Volatility for whole sample period (Standardized) 28

〈Figure 5〉 Dynamics of Credit Spread and Jump Volatility before Sub-prime Mortgage Crisis 29

〈Figure 6〉 Dynamics of Jump Volatility, Historical Volatility and Realized Volatility (Standardized) 30