Estimating volatility clustering and variance risk premium effects on bank default indicators
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DOI: 10.1007/s11156-021-00981-6
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More about this item
Keywords
Default risk; Structural credit risk; GARCH option pricing; Banking; Variance risk premiums;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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