leverage, volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent … premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default … data. We therefore conclude that leverage, volatility and the riskfree rate are important determinants of credit default …

provide extensions of these results to more general equivalent martingale measures and to discrete time stochastic volatility …

historical returns. Many studies have found option-implied volatility to be a strong predictor of future realized volatility. We … .nd that option-implied volatility and skewness are also good predictors of future realized beta. Motivated by this .nding … un ensemble d'hypothèses nécessaires pour effectuer une estimation du bêta, à partir des moments de rendement implicite …

Standard empirical investigations of jump dynamics in returns and volatility are fairly complicated due to the presence … rich specifications of jumps in returns and volatility. Our models can be estimated with ease using standard maximum …

Many continuous time term structure of interest rate models assume a factor structure where the drift and volatility … and functional specifications of the drift and volatility. Morevoer, under the affine term structure restrictions not all …