Ubukata, Masato; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2011
This article evaluates the predictive performance of the market variance risk premium (VRP) in Japan on the Nikkei 225 returns, credit spreads, and the composite index of coincident indicators. Different measures such as expected and ex-post VRPs, which are constructed from model-free implied...