Market variance risk premiums in Japan for asset predictability
Year of publication: |
2014
|
---|---|
Authors: | Ubukata, Masato ; Watanabe, Toshiaki |
Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 47.2014, 1, p. 169-198
|
Subject: | Variance risk premium | Predictability | Realized variance | Implied variance | High-frequency data | Risikoprämie | Risk premium | Japan | Prognoseverfahren | Forecasting model | Varianzanalyse | Analysis of variance | Börsenkurs | Share price | Volatilität | Volatility | Theorie | Theory |
-
Variance risk and the idiosyncratic volatility puzzle
Qadan, Mahmoud, (2022)
-
Konstantinidi, Eirini, (2014)
-
Konstantinidi, Eirini, (2014)
- More ...
-
Option pricing using realized volatility and ARCH type models
Watanabe, Toshiaki, (2009)
-
Pricing Nikkei 225 options using realized volatility
Ubukata, Masato, (2011)
-
Pricing Nikkei 225 options using realized volatility
Ubukata, Masato, (2013)
- More ...