Showing 1 - 10 of 109
inflation risk premiums are also important. Cross-country nominal and inflation-linked yield correlations have declined since … variable from a habit model explains a substantive part of the variation in real yields and cross-country yield correlations …
Persistent link: https://www.econbiz.de/10012848948
Persistent link: https://www.econbiz.de/10014247804
Persistent link: https://www.econbiz.de/10012590876
Persistent link: https://www.econbiz.de/10000819728
Persistent link: https://www.econbiz.de/10000627885
Persistent link: https://www.econbiz.de/10003732643
We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We...
Persistent link: https://www.econbiz.de/10003789454
Persistent link: https://www.econbiz.de/10003328105
Persistent link: https://www.econbiz.de/10003872301
Persistent link: https://www.econbiz.de/10003976044