Open AccessCredit Default Swap Spreads and Variance Risk Premia
Author(s) -
Hao Wang,
Hao Zhou,
Yi Zhou
Publication year - 2011
Publication title -
finance and economics discussion series
Language(s) - English
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2011.02
Subject(s) - variance risk premium , variance swap , risk premium , econometrics , economics , predictability , explanatory power , variance (accounting) , realized variance , leverage (statistics) , credit risk , volatility (finance) , credit default swap , volatility risk premium , financial economics , credit rating , stochastic volatility , actuarial science , statistics , mathematics , philosophy , accounting , epistemology
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