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Commodity Price Volatility Across Exchange Rate Regimes
Cuddington, John T.; Liang, Hong - EconWPA - 1998
from 1880 to 1996: The volatility of real commodity prices, defined as nominal commodity prices deflated by the …
Persistent link: https://www.econbiz.de/10005119448
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Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005
Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …
Persistent link: https://www.econbiz.de/10005076992
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Explaining the Beta, Size and Value Effects Under the Relative Value Theory
Alb, Silviu Iulian - EconWPA - 2004
. Such prices determine intrinsic returns that satisfy the CAPM equation. This paper shows that assets that pay a constant … predicts slightly higher discount rates than the CAPM. Empirical evidence supporting the CAPM cannot reject the RVT at a …
Persistent link: https://www.econbiz.de/10005076993
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A survey on risk-return analysis
Galagedera, Don U.A. - EconWPA - 2004
conditional on time-varying volatility. …
Persistent link: https://www.econbiz.de/10005561561
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Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005
Merton’s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …
Persistent link: https://www.econbiz.de/10005561735
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Extreme Moves in Foreign Exchange Rates and Risk Limit Setting
Dacorogna, Michel; Blum, Peter - EconWPA - 2003
Foreign exchange rates can be subject to considerable daily fluctuations (up to 5 percent within one day). This can, in certain cases, cause serious losses on open overnight positions. Given a maximum tolerable loss for a company, limits have to be set on open overnight positions in foreign...
Persistent link: https://www.econbiz.de/10005126103
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Introducing a scale of market shocks
Zumbach, Gilles O.; Dacorogna, Michel M.; Olsen, Jorgen L. - EconWPA - 2004
importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset …
Persistent link: https://www.econbiz.de/10005076995
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Consistent high-precision volatility from high-frequency data
Corsi, Fulvio; Zumbach, Gilles; Müller, Ulrich; … - EconWPA - 2004
Estimates of daily volatility are investigated. Realized volatility can be computed from returns observed over time … intervals of different sizes. For simple statistical reasons, volatility estimators based on high-frequency returns have been … volatility bias. On the basis of a simple theoretical model for foreign exchange data, the incoherent term can be filtered away …
Persistent link: https://www.econbiz.de/10005134661
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Linkages between Stock Prices and Exchange Rates in the EU and the United States
Stavarek, Daniel - EconWPA - 2004
This paper investigates the nature of the causal relationship between stock prices and effective exchange rates in four old EU-member countries (Austria, France, Germany, and the UK), four new EU-member countries (Czech Republic, Hungary, Poland, and Slovakia) and in the USA. Both the long-run...
Persistent link: https://www.econbiz.de/10005134673
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Monetary Conditions and Stock Returns: A South African Case Study
Coetzee, Clive - EconWPA - 2002
Extensive research on the linkages between monetary conditions and stock returns has been conducted in developed countries. This is in sharp contrast to the situation in developing countries. This paper therefore aims to study the long believed asymmetrical relationship between changes in...
Persistent link: https://www.econbiz.de/10005413129