unserer Ergebnisse für eine länderspezifische Erweiterung des Capital Asset Pricing Models. … factors of standard multi-factor models. Based on the returns of all stocks listed in the German composite index CDAX (all … portfolios, sorted by market capitalization and book-to-market equity, are captured substantially better by multi-factor models …

This paper surveys the literature on the linkages between asset prices and macroeconomic outcomes. It focuses on three … major questions. First, what are the basic theoretical linkages between asset prices and macroeconomic outcomes? Second … empirical findings? The survey addresses these questions in the context of four major asset price categories: equity prices …

changes in financial intermediaries' balance sheets for the supply of credit, liquidity and asset prices, and, consequently …

-known problems associated with the likelihood functions of multivariate GARCH models, maximization is performed using simulated …

factor - prices the cross-section of portfolio-sorted and of bilateral currency returns. Our results rest on minimal …

The goal of this study is to measure market prices of risk and the associated foreign exchange risk premia extending … stochastic discount factors permits the determination of market prices of risk, which, in turn, in an international framework …, allow to compute foreign exchange risk premia. Market prices of risk are time-varying and surge during financial turmoil …