Showing 1 - 8 of 8
Persistent link: https://www.econbiz.de/10010221739
This paper proposes a methodology to analyze the implications of the Advanced Measurement Approach (AMA) for the assessment of operational risk put forward by the Basel II Accord. The methodology relies on an integrated procedure for the construction of the distribution of aggregate losses,...
Persistent link: https://www.econbiz.de/10013137098
The paper singles out the key roles of US equity skewness and kurtosis in the determination of the market premia embedded in Hedge Fund returns. We propose a conditional higher-moment asset pricing model with location, trading and higher-moment factors in order to describe the dynamics of the...
Persistent link: https://www.econbiz.de/10013105638
The paper singles out the key roles of US equity skewness and kurtosis in the determination of the market premia embedded in Hedge Fund returns. We propose a conditional higher-moment asset pricing model with location, trading and higher-moment factors in order to describe the dynamics of the...
Persistent link: https://www.econbiz.de/10013107364
This paper tackles the issue of expected market return inside an equilibrium risk-return framework that accounts of the incomplete information on returns distribution and investors' preferences. Only moments up to order four of unknown unconditional distribution can be observed, and the model...
Persistent link: https://www.econbiz.de/10013089891
Our paper reexamines the methodology of Fama and French (1993) for creating US empirical risk factors, and proposes an extension on the way to compute the mimicking portfolios. Our objective is to develop a modified Fama and French (F&F) methodology that could be easily implemented on other...
Persistent link: https://www.econbiz.de/10013147046
This study investigates the dynamic pattern of the interdependence among G7 stock markets, namely the US, the UK, France, Germany, Italy Canada and Japan over the 1988-2021 period. The state-space formulation of the time-varying cointegrating coefficient allows us to examine the potential...
Persistent link: https://www.econbiz.de/10013308718
This paper estimates higher-order comoment equity risk premiums for the US stock markets. We use an extension of the Fama and French (1993) method to infer the returns attached to a unit exposure to coskewness and cokurtosis risks in the US equity markets. The coskewness and cokurtosis premiums...
Persistent link: https://www.econbiz.de/10013094203