dynamic factor analysis. Design/methodology/approach: This article collects monthly data on the equity risk premium on the … statistically and economically significant in-sample predictability for the future equity risk premium for the KOSPI, as strongly as … deliver better forecasts of the future equity risk premium. Research limitations/implications: There exist different …

-based sovereign default risk forecasting has a 50-year developmental history. This article describes a continuous, non …-homogeneous Markov chain method as the basis for a COVID-19-related sovereign default risk forecast model. It demonstrates the estimation …, export finance institutions, foreign trade experts, risk management professionals, and policymakers in the field of finance …

persistence, is the most important single predictor variable, several fundamental, risk-, and return-based covariates also possess …