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Risk Aversion, Life Insurance Holding, And Risky Asset Investment : Theory and Evidence from European Countries
Chu, Hsun; Li, Chu-Shiu; Peng, Sheng-Chang; Tsendsuren, … - 2023
This paper investigates the effects of risk aversion on portfolio choices in terms of life insurance purchase and risky asset investment. The theoretical results show that households with very low degree of risk aversion allocate all of their investments to risky assets and have little desire to...
Persistent link: https://www.econbiz.de/10014350703
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Empirical essays on cross-sectional asset pricing and institutional investors
Smajlbegovic, Esad - 2016
Persistent link: https://www.econbiz.de/10011525433
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Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter
Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973
Persistent link: https://www.econbiz.de/10011860929
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Large and small cap stocks in Europe : covariance asymmetry, volatility spillovers and beta estimates
Chuliá, Helena; Torró, Hipòlit - In: Advances in risk management, (pp. 327-352). 2007
Persistent link: https://www.econbiz.de/10003401630
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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Arbitrage risk and a sentiment as causes of persistent mispricing : the European evidence
Guidolin, Massimo; Ricci, Andrea - In: The quarterly review of economics and finance : journal … 76 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012417037
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Optimale Strategien zum Management von Elektrizitätsrisiken mit Futures : eine empirische Analyse mit multivariaten GARCH-Modellen
Rodt, Marc - 2003 - 1. Aufl.
Seit der zweiten Hälfte der 90er Jahre schreitet die Liberalisierung der europäischen Elektrizitätsmärkte voran. Damit einher geht die Gründung von Handelsplattformen für Elektrizität, an denen überwiegend Erzeuger und Händler agieren. Die Liberalisierung führt einerseits zu...
Persistent link: https://www.econbiz.de/10013433126
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Re-examining the risk-return relationship in Europe : linear or non-linear trade-off?
Salvador, Enrique; Floros, Christos; Aragó Manzana, Vicent - In: Journal of empirical finance 28 (2014), pp. 60-77
Persistent link: https://www.econbiz.de/10011284508
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European Equity Pairs Trading : The Effect of Data Frequency on Risk and Return
Lucey, Michael E. - 2012
This article examines an equity pairs trading strategy using daily, weekly and monthly European share price data over … historical prices, a simple trading rule based on volatility between these prices yields annualised raw returns of up to 15% for … the weekly data frequency. Bootstrap results suggest returns from the strategy are attributable to skill rather than luck …
Persistent link: https://www.econbiz.de/10013100413