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Asset pricing under uncertainty about shock propagation
Branger, Nicole; Grüning, Patrick; Kraft, Holger; … - 2013 - This version: November 18, 2013
sectors with respect to shock propagation risk can lead to highly persistent aggregate price-dividend ratios. Finally, the … possibility of jumps in one sector triggering higher overall jump probabilities boosts jump risk premia while uncertainty about … the regime is the reason for sizeable diffusive risk premia. …
Persistent link: https://www.econbiz.de/10010226589
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Bank stock volatility and contagion : an empirical investigation with application of multivariate GARCH models
Moussa, Wided Ben - In: Journal of economic development 39 (2014) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10010380036
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Financial contagion risk and the stochastic discount factor
Piccotti, Louis R. - In: Journal of banking & finance 77 (2017), pp. 230-248
Persistent link: https://www.econbiz.de/10011814444
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Decomposing risk spillover effect in international stock market : a novel intertemporal network topology approach
Zhang, Xu; Lv, Zhiyu; Naeem, Muhammad Abubakr; Rauf, Abdul - In: Finance research letters 63 (2024), pp. 1-10
Persistent link: https://www.econbiz.de/10014531573
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Systematic tail risk
Oordt, Maarten van; Chen Zhou - 2013
Persistent link: https://www.econbiz.de/10010225580
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The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander; Chlebus, Marcin - 2021
Persistent link: https://www.econbiz.de/10012816709
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Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation
Ñíguez, Trino-Manuel; Payá, Ivan; Peel, David; … - 2015
Persistent link: https://www.econbiz.de/10011796068
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Fundamental multifactor equity risk models
Fabozzi, Frank J.; Vardharaj, Raman; Jones, Frank Joseph - 2008
Persistent link: https://www.econbiz.de/10003764728
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Coherent measures of risk from a general equilibrium perspective
Csóka, Péter; Herings, Peter Jean-Jacques; Kóczy, … - 2006
Persistent link: https://www.econbiz.de/10003383551
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Variation of wrong-way risk management and its impact on security price changes
Adachi, Tetsuya; Uchida, Yoshihiko - 2015
Persistent link: https://www.econbiz.de/10011375975