Jump tail risk premium and predicting US and Japanese credit spreads
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DOI: 10.1007/s00181-018-1431-x
Abstract: This paper investigates the role of time-varying jump tail risk component of market variance risk premium for predicting credit spreads in US and Japanese corporate bond markets. Based on a semi-nonparametric estimation procedure from option… read more here.
Keywords: risk premium; jump tail; credit spreads; risk ... See more keywords