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This paper examines the predictive power of time-varying risk aversion over payoffs to the carry trade strategy via the … cross-quantilogram methodology. Our analysis yields significant evidence of directional predictability from risk aversion to … of risk aversion is found to be stronger during periods of moderate to high risk aversion and largely concentrated on …
Persistent link: https://www.econbiz.de/10013199647
This paper examines the predictive power of time-varying risk aversion over payoffs to the carry trade strategy via the … cross-quantilogram methodology. Our analysis yields significant evidence of directional predictability from risk aversion to … of risk aversion is found to be stronger during periods of moderate to high risk aversion and largely concentrated on …
Persistent link: https://www.econbiz.de/10012237397
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Employing static/dynamic models that capture herding under different market regimes, we provide novel evidence on the herding behaviour of UK-listed Real Estate Investment Trusts (REITs). Our sample is extensive and covers the period from 30/6/2004 to 5/4/2016. Estimates of herding behaviour are...
Persistent link: https://www.econbiz.de/10012966709
Following the 2007-2009 global recession, economic policy uncertainty and its effect on economic recovery has become an issue of interest in academic, media as well as policy-making circles (Baker et al., 2013). Given this backdrop, we investigate causality between economic policy uncertainty in...
Persistent link: https://www.econbiz.de/10013029078