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Efficient Derivative Pricing by Extended Method of Moments
Gagliardini, Patrick; Gourieroux, Christian; Renault, E - Institut für Schweizerisches Bankwesen <Zürich> - 2005
are applied in a stochastic volatility model to get efficient derivative prices, to measure the uncertainty of estimated …
Persistent link: https://www.econbiz.de/10005858515
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Exchange Rate Volatility and Productivity Growth: The Role of Financial Development
Aghion, Philippe; Bacchetta, Philippe; Ranciere, Romain; … - Institut für Schweizerisches Bankwesen <Zürich> - 2006
This paper offers empirical evidence that real exchange rate volatility can have a significant impact on the long … with relatively low levels of financial development, exchange rate volatility generally reduces growth, whereas for … rate volatility, and outliers. We also oer a simple monetary growth model in which real exchange rate uncertainty …
Persistent link: https://www.econbiz.de/10005858527
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Market and Currency Risk Premia during Financialand Political Crises : An Asset Pricing Perspective
Loebb, Joachim - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
specification. The framework is applied to weekly equity data for Switzerland, the Undited Kingdom, Japan, the United States and …
Persistent link: https://www.econbiz.de/10005858143
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International Bond Risk Premia
Dahlquist, Magnus; Hasseltoft, Henrik - Institut für Schweizerisches Bankwesen <Zürich> - 2011
We identify local and global factors across international bond markets that arepoorly spanned by the traditional level, slope and curvature factors but havestrong forecasting power for future bond excess returns. Local and global fac-tors are jointly signicant predictors of bond returns, where...
Persistent link: https://www.econbiz.de/10009305251
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Sovereign rating transitions and the price of default risk in emerging markets
Audzeyeva, Alena; Schenk-Hoppé, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper introduces an expected value estimator with expert knowledge to the robust estimation of sovereign rating …
Persistent link: https://www.econbiz.de/10005858202
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Aversion Analysis
Allard, Marie; Bronsard, Camille; Gourieroux, Christian - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
Due to their underlying assumptions, the standard concepts of risk aversion and preference for the present are generally defined separately and represented by scalar measures, and this implies many shortcomings. More specifically, if measured by a scalar, the risk aversion remains unchanged,...
Persistent link: https://www.econbiz.de/10005858445
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Credit Default Swaps and Financial Crisis Prediction
Neftci, Salih; Oliveira Santos, Andre; Lu, Yinqiu - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
Credit Default Swaps (CDS) are in the process of becoming, liquid and extremelyinformative instruments of default risk. Yet, default swap market has severalnovel aspects that have not received much attention. In this paper we studyan aspect of CDS´s that relates to the prediction of financial...
Persistent link: https://www.econbiz.de/10005858549
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The Executive Turnover Risk Premium
Peters, Florian S.; Wagner, Alexander F. - Institut für Schweizerisches Bankwesen <Zürich> - 2009
CEO compensation has increased substantially over the past 15 years, but so has forcedturnover. Motivated by this observation, we investigate whether part of the developmentof CEO pay can be explained by a premium which compensates CEOs for increased job risk.We ¯nd that for the CEOs of the...
Persistent link: https://www.econbiz.de/10005868976
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Safe Haven Currencies
Ranaldo, Angelo; Söderlind, Paul - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We study high-frequency exchange rate movements over the sample 1993–2006. We document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S. dollar when (a) S&P has negative returns; (b) U.S. bond prices increase; and (c) when currency markets become more...
Persistent link: https://www.econbiz.de/10005858064
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Random Walk Expectations and the Forward Discount Puzzle
Bacchetta, Philippe; van Wincoop, Eric - Institut für Schweizerisches Bankwesen <Zürich> - 2007
Two well-known, but seemingly contradictory, features of exchange rates are thatthey are close to a random walk while at the same time exchange rate changesare predictable by interest rate differentials. In this paper we investigate whetherthese two features of the data may in fact be related....
Persistent link: https://www.econbiz.de/10005858209