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Estimating volatility clustering and variance risk premium effects on bank default indicators
Default risk increases substantially during financial stress times due to mainly the two reasons: volatility clustering and investors’ desire to protect themselves from such increases in volatility. It manifested in the aftermath of the Global Financial Crisis of 2008–2009 with unpleasant outcomes o...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer US
2021
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8078899/ http://dx.doi.org/10.1007/s11156-021-00981-6 |