---
title: Investigating the VIX Index Relationship with High Yield & Investment Grade Bond Spreads: Exploring Structural Breaks & Threshold Effects (Forthcoming JBES)
url: https://www.ml-quant.com/papers/ssrn/5213881/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 5213881
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5213881
featured: 2025-04-16
citations: 0
topic: Derivatives & Volatility
---


# Investigating the VIX Index Relationship with High Yield & Investment Grade Bond Spreads: Exploring Structural Breaks & Threshold Effects (Forthcoming JBES)

The study analyzes the link between implied equity volatility and corporate bond spreads during financial crises using statistical methods.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5213881
- Identifier: SSRN 5213881
- Released: 2024-03-01
- First featured: Quant Letter No. 93 (2025-04-16): https://www.ml-quant.com/issues/2025-04-16/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Derivatives & Volatility

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