Jump tail risk premium and predicting US and Japanese credit spreads
Masato Ubukata
| Year of publication: |
2019
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|---|---|
| Authors: | Ubukata, Masato |
| Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 57.2019, 1, p. 79-104
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| Subject: | Credit spreads | Jump tail risks | Option prices | Predictability | Variance risk premium | Risikoprämie | Risk premium | USA | United States | Zinsstruktur | Yield curve | Japan | Prognoseverfahren | Forecasting model | Kreditrisiko | Credit risk | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
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