Search Results - subject:"Skewness risk"

The multi-faceted character of risk in maritime freight markets (Panamax) 1996 - 2012

Goulielmos, Alexandros M. - In: Spoudai : journal of economics and business 65 (2015) 1/2, pp. 67-86

The paper deals with maritime risk, which we consider important, no doubt, for ship-owners acting in volatile markets. Traditionally, risk is measured by "standard deviation". Other risk measures like "excess kurtosis", "excess skewness", "long-term dependence" and the "catastrophe propensity"...

Persistent link: https://www.econbiz.de/10011300238

Downside Variance Risk Premium

Feunou, Bruno; Jahan-Parvar, Mohammad; Okou, Cedric - Federal Reserve Board (Board of Governors of the … - 2015

difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside … variance risk premium is the main component of the variance risk premium, and that the skewness risk premium is a priced factor … between the skewness risk premium and the equity premium. Finally, we document the fact that the skewness risk premium fills …

Persistent link: https://www.econbiz.de/10011261280

Skewness risk premium : theory and empirical evidence

Lin, Yuehao; Lehnert, Thorsten; Wolff, Christiaan … - In: International review of financial analysis 63 (2019), pp. 174-185

Persistent link: https://www.econbiz.de/10012207438

The world predictive power of U.S. equity market skewness risk

Chen, Jian; Jiang, Fuwei; Xue, Shuyu; Yao, Jiaquan - In: Journal of international money and finance 96 (2019), pp. 210-227

Persistent link: https://www.econbiz.de/10012139649

Skewness risk premium : theory and empirical evidence

Lehnert, Thorsten; Lin, Yuehao; Wolff, Christiaan … - 2014

Persistent link: https://www.econbiz.de/10010502927

Skewness Risk Premium: Theory and Empirical Evidence

Wolff, Christian; Lehnert, Thorsten; Lin, Yuehao - Luxembourg School of Finance, Faculté de droit, … - 2014

analytical link between the equity premium, risk aversion and the systematic variance and skewness risk premium. In an empirical …-averse investors demand risk-compensation for holding equity when the systematic skewness risk premium is high. However, when we … low, while in down-markets (low sentiment) risk aversion is high. We show that in line with theory, the skewness-risk …

Persistent link: https://www.econbiz.de/10010940817

Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk

RUGE-MURCIA, Francisco - Centre Interuniversitaire de Recherche en Économie … - 2014

models, and illustrates its applicability by estimating a macro-finance model of asset pricing under skewness risk. As …

Persistent link: https://www.econbiz.de/10011122149

What determines the Japanese corporate credit spread? : a new evidence

Azad, A. S. M. Sohel; Chazi, Abdelaziz; Cooper, Peter; … - In: Research in international business and finance 45 (2018), pp. 349-356

Persistent link: https://www.econbiz.de/10011983288

Downside variance risk premium

Feunou, Bruno; Jahan-Parvar, Mohammad R.; Okou, Cédric - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 341-383

Persistent link: https://www.econbiz.de/10011987780

What determines the Japanese corporate credit spread? : a new evidence

Azad, A. S. M. Sohel; Chazi, Abdelaziz; Cooper, Peter; … - In: Research in international business and finance 41 (2017), pp. 354-361

Persistent link: https://www.econbiz.de/10011914512