Peroni, Chiara (2008): A non-parametric investigation of risk premia.
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This paper studies determinants of risk premia using a non-parametric term-structure model of the corporate spread. The model, which measures the extra return of defaultable corporate bonds on their government counterparts, involves the rate of inflation, a key macroeconomic variable that is found to explain the spread non-linearly. This study shows that non-linear methods are useful to investigate features of credit risk and that they give better results than their linear counterparts, enabling testing of affine term-structure specifications. The paper also shows how the non-linear model can be used to forecast the future course of the spread.
|Item Type:||MPRA Paper|
|Original Title:||A non-parametric investigation of risk premia|
|Keywords:||risk premium, corporate spread, default, additive models, non-parametric estimation.|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy
|Depositing User:||Chiara Peroni|
|Date Deposited:||06. May 2009 00:30|
|Last Modified:||13. Feb 2013 14:52|
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