Narrow search
Showing 1 - 10 of 11,013
Cover Image
Asymmetric ambiguity spillover among international equity markets
Qin, Xiao; Wang, Yuwen - In: Applied economics letters 30 (2023) 13, pp. 1843-1849
Persistent link: https://www.econbiz.de/10014305155
Cover Image
The relationship between risk-return preference and knowledge in experimental financial markets
Evans, Dorla A. - In: Journal of behavioral economics 18 (1989) 1, pp. 19-40
Persistent link: https://www.econbiz.de/10001133204
Cover Image
Moral hazard, imperfect risk-sharing, and the behavior of asset returns
Kahn, James A. - In: Journal of monetary economics 26 (1990) 1, pp. 27-44
Persistent link: https://www.econbiz.de/10001096492
Cover Image
Estimating systematic risk under extremely adverse market conditions
Oordt, Maarten R. C. van; Chen Zhou - 2016
This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its...
Persistent link: https://www.econbiz.de/10011458791
Cover Image
Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - In: Quantitative economics : QE ; journal of the … 9 (2018) 2, pp. 945-993
dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …
Persistent link: https://www.econbiz.de/10011994544
Cover Image
Dynamic stock-bond return correlations and financial market uncertainty
Chiang, Thomas C.; Li, Jiandong; Yang, Sheng-Yung - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 59-88
Persistent link: https://www.econbiz.de/10011333137
Cover Image
Extrem value theory in finance : a survey
Rocco, Marco - In: Journal of economic surveys 28 (2014) 1, pp. 82-108
Persistent link: https://www.econbiz.de/10011293032
Cover Image
Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …
Persistent link: https://www.econbiz.de/10012175486
Cover Image
Conditional extremes in asymmetric financial markets
Nolde, Natalia; Zhang, Jinyuan - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 201-213
Persistent link: https://www.econbiz.de/10012179547
Cover Image
Risk-taking, inequality and output in the long-run
Aoki, Shuhei; Nirei, Makoto; Yamana, Kazufumi - 2018
Persistent link: https://www.econbiz.de/10012180321