Credit default swap spreads and variance risk premia
Year of publication: |
2013
|
---|---|
Authors: | Wang, Hao ; Zhou, Hao ; Zhou, Yi |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 10, p. 3733-3746
|
Subject: | Variance risk premia | Credit default swap spreads | Option-implied variance | Expected variance | Realized variance | Kreditderivat | Credit derivative | Risikoprämie | Risk premium | Kreditrisiko | Credit risk | Schätzung | Estimation | Varianzanalyse | Analysis of variance | Derivat | Derivative | Volatilität | Volatility | Börsenkurs | Share price | Zinsstruktur | Yield curve |
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