Estimating volatility clustering and variance risk premium effects on bank default indicators
Turalay Kenc, Emrah Ismail Cevik
| Year of publication: |
2021
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|---|---|
| Authors: | Kenç, Turalay ; Cevik, Emrah Ismail |
| Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 57.2021, 4, p. 1373-1392
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| Subject: | Default risk | Structural credit risk | GARCH option pricing | Banking | Variance risk premiums | Kreditrisiko | Credit risk | Risikoprämie | Risk premium | Volatilität | Volatility | Schätzung | Estimation | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Börsenkurs | Share price | Bankrisiko | Bank risk |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-021-00981-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012660703