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Macroeconomic uncertainty and credit default swap spreads
Baum, Christopher F.; Wan, Chi - In: Applied financial economics 20 (2010) 13/15, pp. 1163-1171
Persistent link: https://www.econbiz.de/10009010296
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Federal funds futures, risk premium and monetary policy actions
Nourzad, Farrokh; Calhoun, James; Kurkiewicz, Adam - In: Applied financial economics 22 (2012) 16/18, pp. 1317-1330
Persistent link: https://www.econbiz.de/10009625373
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An empirical analysis of dynamic dependences in the European corporate credit markets : bonds versus credit derivatives
Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio - In: Applied financial economics 24 (2014) 7/9, pp. 605-619
Persistent link: https://www.econbiz.de/10010402682
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The cross section of expected futures returns and the Keynesian hypothesis
Miffre, Joëlle - In: Applied financial economics 13 (2003) 10, pp. 731-739
Persistent link: https://www.econbiz.de/10001777214
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The predictability of futures returns : rational variation in required returns or market inefficiency?
Miffre, Joëlle - In: Applied financial economics 12 (2002) 10, pp. 715-724
Persistent link: https://www.econbiz.de/10001702510
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The time profile of risk in banking crises : evidence from Scandinavian banking sectors
Hyytinen, Ari - In: Applied financial economics 12 (2002) 9, pp. 613-623
Persistent link: https://www.econbiz.de/10001688978
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Conditional confidence intervals for the equity premium and other rates
Azar, Samih Antoine - In: Applied financial economics 18 (2008) 13/15, pp. 1085-1089
Persistent link: https://www.econbiz.de/10003752948
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Risk premium: insights over the threshold
Fernandes, José L. B.; Hasman, Augusto; Peña Sánchez … - In: Applied financial economics 18 (2008) 1/3, pp. 41-59
Persistent link: https://www.econbiz.de/10003738976
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Idiosyncratic volatility and stock returns : a cross country analysis
Pukthuanthong, Kuntara; Visaltanachoti, Nuttawat - In: Applied financial economics 19 (2009) 16/18, pp. 1269-1281
Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential...
Persistent link: https://www.econbiz.de/10003886161
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Pricing of liquidity risk : empirical evidence from Finland
Vaihekoski, Mika - In: Applied financial economics 19 (2009) 19/21, pp. 1547-1557
This study investigates the pricing of liquidity risk in stock market using conditional Asset Pricing Models (APMs). The estimation is conducted in the Generalized Method of Moment (GMM) framework with a price of risk specification. The main interest is to find out whether liquidity is priced as...
Persistent link: https://www.econbiz.de/10003904294