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When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia

Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010

equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …

Persistent link: https://www.econbiz.de/10009305103

Interactions between Market and Credit Risk: Modeling the Joint Dynamics of Default-free and Defaultable Bond Term Structures

Walder, Roger - 2002

This paper develops a model and estimate simultaneously the joint dynamics of default-free and defaultable bond term structures.

Persistent link: https://www.econbiz.de/10005843342

Identifying Structural Effects in NonseparableSystems Using Covariates

White, Halbert; Chalak, Karim - Boston College / Department of Economics - 2008

This paper demonstrates the extensive scope of an alternative to standardinstrumental variables methods, namely covariate-based methods, for identifying and es-timating effects of interest in general structural systems. As we show, commonly usedeconometric methods, specically parametric,...

Persistent link: https://www.econbiz.de/10009302533

What factors aect the Oslo Stock Exchange?

Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne - Universitetet <Stavanger> / School of Business … - 2009

This paper analyzes return patterns and determinants at the Oslo Stock Ex-change (OSE) in the period 1980{2006. We nd that a three-factor model con-taining the market, a size factor and a liquidity factor provides a reasonable t forthe cross-section of Norwegian stock returns. As expected, oil...

Persistent link: https://www.econbiz.de/10009305197

Feasible Momentum Strategies - Evidence from the Swiss Stock Market

Rey, David M.; Schmid, Markus M. - Wirtschaftswissenschaftliches Zentrum <Basel> - 2005

While there is little controversy on the profitability of momentum strategies, their implementation is afflicted with many difficulties. Most important, chasing momentum can generate high turnover. Though there are already several attempts to make momentum strategies less expensive with respect...

Persistent link: https://www.econbiz.de/10005862981

Combination ofmultivariate volatilityforecasts

Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

This paper proposes a novel approach to the combination of conditional covariancematrix forecasts based on the use of the Generalized Method of Moments (GMM). Itis shown how the procedure can be generalized to deal with large dimensional systemsby means of a two-step strategy. The finite sample...

Persistent link: https://www.econbiz.de/10005865451

Stochastic frontier analysis by means of maximum likelihood and the method of moments

Behr, Andreas; Tente, Sebastian - Deutsche Bundesbank <Frankfurt, Main> / … - 2008

The stochastic frontier analysis (Aigner et al., 1977, Meeusen and van de Broeck, 1977)is widely used to estimate individual efficiency scores. The basic idea lies in the introductionof an additive error term consisting of a noise and an inefficiency term. Most oftenthe assumption of a...

Persistent link: https://www.econbiz.de/10005866198

Vergleichende Analyse alternativer Kreditrisikomodelle

Wahrenburg, Mark M; Niethen, Susanne - 2000

In den letzten Jahren wurden verschiedene Modelle entwickelt, um das Ausfallrisiko von Banken unter Berücksichtigung von Portfolioeffekten zu quantifizieren. Bisher hat sich kein Ansatz als allgemein akzeptierter Standard durchsetzen können. Da die Modelle grundlegende konzeptionelle...

Persistent link: https://www.econbiz.de/10005840344

Stabilität der Korrelationen bedeutender Anlageklassen

Auckenthaler, Christoph; Skaanes, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2003

Seit Begründung der modernen Portfoliotheorie ist bekannt, daß die Portfoliovolatilität im Fall niedriger Korrelationen zwischen den Anlageklassen bei sonst gleich bleibenden Parametern ohne Renditeeinbuße reduziert wird...

Persistent link: https://www.econbiz.de/10005856981

International Asset Allocation and Hidden Regime Switching

Morger, Felix - Institut für Schweizerisches Bankwesen <Zürich> - 2006

characteristics of her portfolio. This empirical study is embedded into an introduction to correlation breakdown, which can be … generated by regime-switching models, and theory onasset allocation …

Persistent link: https://www.econbiz.de/10005858133