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How do bond, equity and commodity cycles interact?
Narayan, Paresh Kumar; Thuraisamy, Kannan Sivananthan; … - In: Finance research letters 21 (2017), pp. 151-156
Persistent link: https://www.econbiz.de/10011807742
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Oil consumption, economic growth, and oil futures : the impact of long-run oil supply uncertainty on asset prices
Ready, Robert C. - In: Journal of monetary economics 94 (2018), pp. 1-26
Persistent link: https://www.econbiz.de/10012108766
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Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?
Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31
(beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama-French Three …
Persistent link: https://www.econbiz.de/10012872607
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Predicting the VIX and the Volatility Risk Premium : What's Credit and Commodity Volatility Risk Got to Do with It?
Andreou, Elena - 2014
Realized Volatility and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we …-type models and (2) we price equity volatility risk using factors which go beyond the equity class. These are volatility factors …
Persistent link: https://www.econbiz.de/10013045628
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Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena; Ghysels, Eric - In: Journal of econometrics 220 (2021) 2, pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
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Volatility and systematic risks in financial markets
Würsig, Christoph Matthias - 2022
Persistent link: https://www.econbiz.de/10013256100
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Predicting the VIX and the volatility risk premium : the role of short-run funding spreads volatility factors
Andreou, Elena; Ghysels, Eric - 2020
Persistent link: https://www.econbiz.de/10014336139
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The Price of Crude Oil as a Factor for USD Volatility
Zahariev, Andrey - 2017
problem – the crude oil price volatility as a factor with an effect on the USD exchange rate. The analysis focuses on the … proposition that there exists a correlation between the price volatility of the petrol, as a strategic energy commodity and the … assessment of the price volatility of crude oil, as a leading external to the US economy factor that influences the USD exchange …
Persistent link: https://www.econbiz.de/10012963231
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A global factor in variance risk premia and local bond pricing
Kaminska, Iryna; Roberts-Sklar, Matt - 2015
Persistent link: https://www.econbiz.de/10011443308