from purchasing power parity (PPP) as well as temporal variations in both regional and local sources of risk. Using data … Tunisia), our results support the validity of ICAPM and indicate that the risk is regionally priced. Furthermore, we show that …

-denominated and non-Euro (foreign) assets. We analyze the impact of the model specification to improve the risk-return trade-off when … currency risk is hedged. Hedging strategies of currency risk, using exchange rate futures and driven by several multivariate … GARCH models, depend on the portfolio composition and period analyzed. Dynamic covariance models provide limited evidences …

This paper explores the ability of financial analysts to gauge the risk taken by banks and investigates the impact of … forecasting abilities are negatively influenced by bank-specific risks, except market risk. We also find that forecasting … crisis all risk indicators significantly reduce forecasting abilities of both types of analysts (optimistic and pessimistic …