Although the literature on the benefits of diversifying equity portfolios to emerging markets is abundant, the role of frontier markets in global equity portfolio diversification is clearly less examined. We contribute to the existing literature by examining three different, though closely...

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption risk sharing: we find that countries with the most...

This paper focuses on weather derivatives as efficient risk management instruments and proposes a more advanced approach for their pricing. An "hybrid" contract is introduced, combining insurance properties, specifically tailored for the region under study and introducing Value-at-Risk (VaR) and...

"Asymmetric Dependence (hereafter, AD) is usually thought of as a cross-sectional phenomenon. Andrew Patton describes AD as "stock returns appear to be more highly correlated during market downturns than during market upturns." (Patton, 2004) Thus at a point in time when the market return is...

Cover -- Title Page -- Copyright -- Contents -- About the Editors -- Introduction -- Chapter 1: Disappointment Aversion, Asset Pricing and Measuring Asymmetric Dependence -- 1.1 Introduction -- 1.2 From Skiadas Preferences to Asset Prices -- 1.3 Consistently Measuring Asymmetric Dependence --...