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Asset-pricing models and economic risk premia: A decomposition
Balduzzi, Pierluigi; Robotti, Cesare; Balduzzi, Pierluigi; … - 2005
factors. This second component is also sensitive to the criterion minimized in estimation. The third component is estimated …
Persistent link: https://www.econbiz.de/10010397680
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Winter blues and time variation in the price of risk
Garrett, Ian; Kamstra, Mark; Kramer, Lisa - 2004
determine whether the seasonality can be explained using a conditional version of the capital asset pricing model (CAPM) that … United Kingdom, Japan, and Australia, the authors find that a conditional CAPM that allows the price of risk to vary in …
Persistent link: https://www.econbiz.de/10010397599
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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10010500191
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Drivers of Academic Research and Patenting in India: Econometric Estimation of the Research Production Function
Ray, Amit Shovon; Saha, Sabyasachi - 2010
India. Academic research is conceptualised as a research production process where research inputs (like research time and …. Our results clearly identify several drivers of academic research and patenting in India, in terms of faculty background … India. In particular, we argue that putting in place institutional structures will not serve the purpose without addressing …
Persistent link: https://www.econbiz.de/10011807653
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Risk premia in electricity wholesale spot markets: empirical evidence from Germany
Pietz, Matthäus - 2009
This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an analysis of the German electricity wholesale spot market which is located at the European Energy Exchange (EEX). Our dataset covers three spot market segments, namely the intraday...
Persistent link: https://www.econbiz.de/10010305694
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Risk premia in the German electricity futures market
Pietz, Matthäus - 2009
The mechanism behind price formation in electricity futures markets is still under discussion. Theory suggests that hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this discussion through an empirical investigation of electricity...
Persistent link: https://www.econbiz.de/10010305696
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Stock Market Predictability : Is it There? A Critical Review
Rey, David - Wirtschaftswissenschaftliches Zentrum <Basel> - 2008
This paper aims to survey selected recent papers presenting new evidenceon an age-old question in financial economics: Are stock market returnspredictable?. The hypothesis that equity returns are predictable (specificallyat long horizons) has been called a new fact in finance by Cochrane(1999)....
Persistent link: https://www.econbiz.de/10005862996
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Systematic and liquidity risk in subprime-mortgage backed securities
Dungey, Mardi; Dwyer, Gerald P.; Flavin, Thomas - 2011
The misevaluation of risk in securitized financial products is central to understanding the financial crisis of 2007 - 8. This paper characterizes the evolution of factors affecting collateralized debt obligations based on subprime mortgages. A key feature of subprime-mortgage backed indices is...
Persistent link: https://www.econbiz.de/10010292259
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Explaining bank failures in the United States: The role of self-fulfilling prophecies, systemic risk, banking regulation, and contagion
Herger, Nils - 2008
Using count data on the number of bank failures in US states during the 1960 to 2006 period, this paper endeavors to establish how far sources of economic risk (recessions, high interest rates, inflation) or differences in solvency and branching regulation can explain some of the fragility in...
Persistent link: https://www.econbiz.de/10011430078
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Does Oil Price Uncertainty Transmit to Stock Markets?
Ågren, Martin - 2006
The paper presents an empirical study of volatility spillover from oil prices to stock markets within an asymmetric BEKK model. Using weekly data on the aggregate stock markets of Japan, Norway, Sweden, the U.K., and the U.S., strong evidence of volatility spillover is found for all stock...
Persistent link: https://www.econbiz.de/10010321644