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the usefulness of the methodology by testing the linear risk-return relation predicted by the ICAPM. …
Persistent link: https://www.econbiz.de/10011422182
structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …
Persistent link: https://www.econbiz.de/10011605091
. Thus, the agent is concerned about the intertemporal distribution of risk, which is affected by the persistence of the … interpreted as a change in the price of risk. I find coefficients of risk aversion from 40 to 90, and subjective discount factors …
Persistent link: https://www.econbiz.de/10010322544
Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial … significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … the assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk …
Persistent link: https://www.econbiz.de/10010322253
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10010316931
Many postulated relations in finance imply that expected asset returns should monotonically increase in a certain characteristic. To examine the validity of such a claim, one typically considers a finite number of return categories, ordered according to the underlying characteristic. A standard...
Persistent link: https://www.econbiz.de/10010316938
Endogenous Uncertainty is that component of economic risk and market volatility which is propagated within the economy …
Persistent link: https://www.econbiz.de/10011608491
Being able to model yield curves from observed bond yields is essential in capital markets. Yield curves are required to accurately price financial products as well as to correctly assess the macroeconomic situation of economies. Current models based on the work of Nelson/Siegel et al. apply a...
Persistent link: https://www.econbiz.de/10010305888
This study models high and low frequency variation in global equity correlations using a comprehensive sample of 43 countries that includes developed and emerging markets, during the period 1995-2008. These two types of variations are modeled following the semi-parametric Factor-Spline-GARCH...
Persistent link: https://www.econbiz.de/10010322613
-Variance-Skewness-Kurtosis optimizing agent. Besides the standard Sharpe-Lintner CAPM mutual fund separation we obtain additional mutual funds called …
Persistent link: https://www.econbiz.de/10010279966