Credit default swap spreads and variance risk premia
Hao Wang; Hao Zhou; Yi Zhou
| Year of publication: |
2013
|
|---|---|
| Authors: | Wang, Hao ; Zhou, Hao ; Zhou, Yi |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 10, p. 3733-3746
|
| Subject: | Variance risk premia | Credit default swap spreads | Option-implied variance | Expected variance | Realized variance | Kreditderivat | Credit derivative | Risikoprämie | Risk premium | Volatilität | Volatility | Börsenkurs | Share price | Kreditrisiko | Credit risk | Swap | Varianzanalyse | Analysis of variance | Schätzung | Estimation | Derivat | Derivative | Zinsstruktur | Yield curve |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010126846