Showing 1 - 10 of 25
Persistent link: https://www.econbiz.de/10011772119
Persistent link: https://www.econbiz.de/10011944414
Persistent link: https://www.econbiz.de/10012419085
Persistent link: https://www.econbiz.de/10012624638
Persistent link: https://www.econbiz.de/10012138644
Persistent link: https://www.econbiz.de/10012173996
Persistent link: https://www.econbiz.de/10012157603
Persistent link: https://www.econbiz.de/10011694391
This paper examines the properties of the gold risk premium. We estimate a parsimonious model for the gold risk premium and uncover important time variations in the dynamics of the risk premium. We also estimate risk premia of the stock and bond markets, and investigate the role of gold as a...
Persistent link: https://www.econbiz.de/10011751138
We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail...
Persistent link: https://www.econbiz.de/10011751251