Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion

• Material Type: 文書・図像類
• Title: Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion
• Author/Editor: Ubukata, Masato; Watanabe, Toshiaki
• Author Heading: Ubukata, Masato; Watanabe, Toshiaki; https://nrid.nii.ac.jp/nrid/1000090254135/
• Publication, Distribution, etc.: Institute of Economic Research, Hitotsubashi University
• Publication Date: 2011-12
• Publication Date (W3CDTF): 2011-12
• Contributor: 社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
• Text Language Code: eng
• Subject Heading: variance risk premium; predictability; realized variance; implied variance; relative risk aversion
• Target Audience: 一般
• Note (General): グローバルCOEプログラム = Global COE Program
• Format (IMT): application/pdf
• Source: fulltext; https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/22064/gd11-214.pdf
• Access Restrictions: インターネット公開
• Periodical Title: Global COE Hi-Stat Discussion Paper Series ; No. 214
• Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources

• Summary, etc.: This article evaluates the predictive performance of the market variance risk premium (VRP) in Japan on the Nikkei 225 returns, credit spreads, and th...