Market variance risk premiums in Japan for asset predictability
Masato Ubukata; Toshiaki Watanabe
| 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 | Japan | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Varianzanalyse | Analysis of variance | Volatilität | Volatility | Börsenkurs | Share price | Portfolio-Management | Portfolio selection | Optionsgeschäft | Option trading |
| 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/10010379960