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rate can be nonparametric for the risk premium parameters. We derive the kernel nonparametric efficiency bounds for … are applied in a stochastic volatility model to get efficient derivative prices, to measure the uncertainty of estimated … prices, and to estimate the risk premium parameters. …
Persistent link: https://www.econbiz.de/10005858515
correlation risk is a non-negligible fraction of the myopic portfolio, which often dominates the pure volatility hedging demand …In this paper we solve an intertemporal portfolio problem with correlation risk, using a new approach for the … simultaneous modeling of stochastic correlation and volatility. The solutions of the model are in closed form and include an …
Persistent link: https://www.econbiz.de/10005858523
jointly signicant predictors of bond returns, where the global factor isclosely linked to US bond risk premia and … which movements in risk premia are driven by one local andone global factor. Yield loadings for the two factors are … estimated to be close tozero while shocks to risk premia account for a small fraction of yield variance.This suggests that the …
Persistent link: https://www.econbiz.de/10009305251
This paper introduces an expected value estimator with expert knowledge to the robust estimation of sovereign rating … default risk accounted for a rather small share (decreasing with maturity) of the yield spreads for non-investment grade …-default risk factors. Default and liquidity premia for investment-grade Mexican spreads both decreased at similar rates. …
Persistent link: https://www.econbiz.de/10005858202
Due to their underlying assumptions, the standard concepts of risk aversion and preference for the present are … measured by a scalar, the risk aversion remains unchanged, whatever type of riskis considered. Consequently, the main purpose … of this paper is to provide a morecomplete analysis of aversions, which clearly emphasizes the multidimensionalityof risk …
Persistent link: https://www.econbiz.de/10005858445
Credit Default Swaps (CDS) are in the process of becoming, liquid and extremelyinformative instruments of default risk …
Persistent link: https://www.econbiz.de/10005858549
increased job risk.We ¯nd that for the CEOs of the largest US corporations, a one percentage point increase inturnover risk is …
Persistent link: https://www.econbiz.de/10005868976
Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for … mostcountries. We nd that economic development and market capitalization/GDP arethe most important factors that increase volatility …
Persistent link: https://www.econbiz.de/10009022138
We study the exponential utility indifference valuation of a contingent claim B in an incomplete market driven by two Brownian motions. The claim depends on a nontradable asset stochastically correlated with the traded asset available for hedging. We use martingale arguments to provide upper and...
Persistent link: https://www.econbiz.de/10005857735
individual parameters, the dynamics of the aggregate volatility involves additional lags that reflect the moments of the …
Persistent link: https://www.econbiz.de/10005857736