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Essays in international macroeconomics
Scholl, Almuth - 2006
Persistent link: https://www.econbiz.de/10003315521
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Wave after wave : contagion risk from commodity markets
Algieri, Bernardina; Leccadito, Arturo - 2017
The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity … markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this … purpose, we use the delta Conditional Value-at-Risk CoVaR) approach recently proposed by Adrian and Brunnermeier (2016) based …
Persistent link: https://www.econbiz.de/10011656414
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The determinants of exchange rate risk management in developing countries : evidence from Indonesia
Danila, Nevi; Huang, Chia-Hsing - In: Afro-Asian Journal of Finance and Accounting : AAJFA 6 (2016) 1, pp. 53-67
Persistent link: https://www.econbiz.de/10011736680
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Value at risk for a mixture of normal distributions : the use of quasi-Bayesian estimation techniques
Venkataraman, Subu - In: Economic perspectives 21 (1997) 2, pp. 2-13
Persistent link: https://www.econbiz.de/10001218351
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The Hill estimator in financial risk assessment and an application to extremal exchange rate risk
Wagner, Niklas F. - In: Financial risk and financial risk management, (pp. 173-187). 2002
Persistent link: https://www.econbiz.de/10001755640
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Risk Exchange Under EUUP
Iwaki, Hideki - 2018
This study considers a pure exchange economy with insurance against ambiguous loss. Ambiguity preferences are represented by the expected utility with uncertainty (EUUP) theory advocated by Izhakian (2017). The economic premium principle of Buhlmann (1980) is generalized under EUUP. We also...
Persistent link: https://www.econbiz.de/10012930203
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Precautionary risks for an open economy
Ferreira, Alex Luiz; Matos, Paulo - In: International review of economics & finance : IREF 70 (2020), pp. 154-167
Persistent link: https://www.econbiz.de/10012486781
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Overnight exchange rate risk based on multi-quantile and joint-shock CAViaR models
Peng, Wei; Zeng, Yufeng - In: Economic modelling 80 (2019), pp. 392-399
Persistent link: https://www.econbiz.de/10012200766
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Exchange Rate Risk : Allocating Exchange Rate Risk in Private Infrastructure Projects
Gray, Philip; Irwin, Timothy - 2012
investors take on all financing-related exchange rate risk, even though this may mean higher tariffs for consumers as a premium … for bearing that risk. …
Persistent link: https://www.econbiz.de/10012556381
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Global risk and market conditions
Akbari, Amir; Carrieri, Francesca - In: International review of economics & finance : IREF 83 (2023), pp. 51-70
Persistent link: https://www.econbiz.de/10014239898