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Estimating volatility clustering and variance risk premium effects on bank default indicators |
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| Authors: | Kenc Turalay Cevik Emrah Ismail |
| Affiliation: | 1.CERF, Cambridge Judge Business School, University of Cambridge, Trumpington Street, Cambridge, CB2 1AG, UK ;3.Tekirdag Namik Kemal University, Tekirda?, Turkey ; |
| Abstract: | Review of Quantitative Finance and Accounting - Default risk increases substantially during financial stress times due to mainly the two reasons: volatility clustering and investors’ desire... |
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