calculating value at risk by specifying the location and scale parameters of the generalized Pareto distribution as a function of …

The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets … risk in the foreign exchange market. The paper provides new evidence on the intertemporal capital asset pricing model by … using high-frequency intraday data on currency and by presenting significant time-variation in the risk aversion parameter …

approach return and risk of various rollover option strategies (put hedge; covered short call; collar). In addition to measure …) historique, ils evaluent le possibilites et risques des strategies de hedging par options (put hedge; covered short call; collar … auteurs essaient d´identifier des relations determinantes entre les differents types des strategies de hedging par options …

The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets … risk in the foreign exchange market. The paper provides new evidence on the intertemporal capital asset pricing model by … using high-frequency intraday data on currency and by presenting significant time-variation in the risk aversion parameter …

This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are … no significant relationship. After controlling for a large set of fund characteristics and risk factors considered in … statistically significant. Hence, we argue that macroeconomic risk is a powerful determinant of cross-sectional differences in hedge …