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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

Demokratie in Afrika –Eine wirtschaftsethische Stellungnahmezur Initiative „New Partnership forAfrica’s Development“ (NePAD)

Voigt, Cora; Pies, Ingo - Wittenberg-Zentrum für Globale Ethik - 2004

Die internationale Gemeinschaft unternimmt seit Jahren erhebliche Anstrengungen, umEntwicklungs- und Schwellenländer auf einen stabilen Wachstumspfad zu führen. Dabei istman zunehmend zu der Erkenntnis gelangt, dass ein wesentlicher Schwerpunkt der Entwicklungszusammenarbeitauf die...

Persistent link: https://www.econbiz.de/10005867574

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

Search and active learning with correlated information:Empirical evidence from Mid-Atlantic clam fishermen

Marcoul, Philippe; Weninger, Quinn R. - Iowa State University of Science and Technology <Ames, … - 2007

correlation affects the decision to acquire information.A unique data set on fishing site choice by mid-Atlantic clam fishermen is …

Persistent link: https://www.econbiz.de/10009360920

Powerful Trend Function Tests That are Robustto Strong Serial Correlation with an Applicationto the Prebisch-Singer Hypothesis

Bunzel, Helle; Vogelsang, Timothy J. - Iowa State University of Science and Technology <Ames, … - 2004

univariate time series. The tests do not require knowledge of the form ofserial correlation in the data and they are robust to … strong serial correlation. The data cancontain a unit root and the tests still have the correct size asymptotically. The …

Persistent link: https://www.econbiz.de/10009418934

Pairwise Correlations

Chordia, Tarun; Goyal, Amit; Tong, Quing - National Centre of Competence in Research - Financial … - 2011

Pairwise stock correlations increase by 27% on average when stock returns arenegative. It is trading activity in small stocks that leads to higher correlationswhen returns are negative. We provide evidence consistent with the hypothesisthat co-ordinated selling by retail investors drives this...

Persistent link: https://www.econbiz.de/10009486828

Who Tames the Celtic Tiger? Portfolio Implications from aMultivariate Markov Switching Model

Guidolin, Massimo; Hyde, Stuart - Manchester Business School - 2006

We use multivariate regime switching vector autoregressive models to characterize the time-varyinglinkages among the Irish stock market, one of the top world performers of the 1990s, and the US andUK stock markets. We ¯nd that two regimes, characterized as bear and bull states, are required...

Persistent link: https://www.econbiz.de/10005869997

Correlation Products and Risk Management Issues

Mahoney, James - Federal Reserve Bank <New York, NY> - 1995

This article defines correlation products andexplores the problems they raise for risk management systemsin financial … institutions. It explains the difficulties ofanalyzing nonseparable risk in one type of correlation product,the differential (diff …

Persistent link: https://www.econbiz.de/10005870345

The Economic Legacies of the ‘Thin White Line’: Indirect Rule and the Comparative Development of Sub-Saharan Africa

Richens, Peter - London School of Economics and Political Science - 2009

Recent empirical studies claim to have identified roots of Africa’s poverty in its colonial past, particularly in the … to have had little direct effect on economic performance. There is found to be a strong and robust positive correlation … pre-colonial political systems were relatively decentralised. It is proposed that this correlation is the result of a …

Persistent link: https://www.econbiz.de/10005870402

Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis

Huang, Xin Xun; Zhou, Hao; Zhu, Haibin - Bank für Internationalen Zahlungsausgleich <Basel> - 2010

This paper extends the approach of measuring and stress-testing the systemic risk of a banking sector in Huang, Zhou, and Zhu (2009) to identifying various sources of financial instability and to allocating systemic risk to individual financial institutions. The systemic risk measure, defined as...

Persistent link: https://www.econbiz.de/10005871068