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Monetary policy and risk-taking : evidence from Thai corporate bond markets
Warinthip Worasak; Nuwat Nookhwun; Pongpitch Amatyakul - 2022
Persistent link: https://www.econbiz.de/10013431587
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Long run risk model and equity premium puzzle in Thailand
Sartja Duangchaiyoosook; Kilenthong, Weerachart T. - 2021
Persistent link: https://www.econbiz.de/10012582703
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Beta dispersion and market timing
Kuntz, Laura-Chloé - 2020
The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...
Persistent link: https://www.econbiz.de/10012264452
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Numerical analysis of strategic contigent claims models
Anderson, Ronald W.; Tu, Cheng - 1997
Persistent link: https://www.econbiz.de/10000955473
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Duration measures for specific term sturcture estimations and applications to bond portfolio immunization
Prisman, Eliezer Zeev; Shores, Marilyn R. - 1987
Persistent link: https://www.econbiz.de/10000744493
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Consumption volatility, production volatility, spot rate volatility and the returns on treasury bills and bonds
Lauterbach, Beni - 1989
Persistent link: https://www.econbiz.de/10000769051
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Immunization as a solution to a maximum expected utility strategy
Machnes, Yaffa - 1989
Persistent link: https://www.econbiz.de/10000769090
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …
Persistent link: https://www.econbiz.de/10011663407
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Zum Problem der Anschlussverzinsung
Kruschwitz, Lutz - 2009
Persistent link: https://www.econbiz.de/10003931682
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Market transparency and the marking precision of bond mutual fund managers
Cici, Gjergji; Gibson, Scott; Gündüz, Yalın; … - 2014
in price dispersion. TRACE-associated decreases in crossfund bond mark dispersion provide indirect support for …
Persistent link: https://www.econbiz.de/10010373710