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Explpring the use of the Kelly criterion for Basel capital requirement : an optimal and countercyclical appoach
Wong, Max C. Y. - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10010526458
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Global asset allocation shifts
Kroencke, Tim-Alexander; Schmeling, Maik; Schrimpf, Andreas - 2015
Persistent link: https://www.econbiz.de/10010509601
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Monetary policy after the crisis : a threat to hedge funds' alphas?
Berglund, Alexander; Guidolin, Massimo; Pedio, Manuela - In: The journal of asset management 21 (2020) 3, pp. 219-238
Persistent link: https://www.econbiz.de/10012292767
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The influence of central bank monetary policy announcements on cryptocurrency return volatility
Corbet, Shaen; McHugh, Grace; Meegan, Andrew - In: Investment management and financial innovations 14 (2017) 4, pp. 60-72
Persistent link: https://www.econbiz.de/10011876256
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A global look into stock market comovements
Inaba, Kei-Ichiro - In: Review of world economics 156 (2020) 3, pp. 517-555
Persistent link: https://www.econbiz.de/10012433063
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General equilibrium with multiple liquid assets
Altermatt, Lukas; Iwasaki, Kohei; Wright, Randall D. - In: Review of economic dynamics 51 (2023), pp. 267-291
Persistent link: https://www.econbiz.de/10014471832
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Multifactor conditional equity premium model : evidence from China's stock market
Cheng, Hang; Guo, Hui; Shi, Yongdong - In: Journal of banking and finance 161 (2024), pp. 1-19
Persistent link: https://www.econbiz.de/10015065800
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Monetary Policy and Exchange Rate Returns : Time-Varying Risk Regimes
Calomiris, Charles W. - 2019
We develop an empirical model of exchange rate returns, applied separately to samples of developed (DM) and developing (EM) economies' currencies against the dollar. Monetary policy stance of the global central banks, measured via a natural-language-based approach, has a large effect on exchange...
Persistent link: https://www.econbiz.de/10012889481
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Monetary Policy and Exchange Rate Returns : Time-Varying Risk Regimes
Calomiris, Charles W. - 2020
We develop an empirical model of exchange rate returns, applied separately to samples of developed (DM) and developing (EM) economies' currencies against the dollar. Monetary policy stance of the global central banks, measured via a natural-language-based approach, has a large effect on exchange...
Persistent link: https://www.econbiz.de/10012850036
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Spillovers of US market volatility and monetary policy uncertainty to global stock markets
Chiang, Thomas C. - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10013187644