Similar Search Results

Have consumption risks in the G7 countries become diversified?

Antonakakis, Nikolaos; Scharler, Johann - 2011

Persistent link: https://www.econbiz.de/10009229456

Have consumption risks in the G7 countries become diversified?

Antonakakis, Nikolaos; Scharler, Johann - 2010

conditional correlation model due to Engle (2002), we construct a time-varying, consumption-based measure of risk sharing. We find … evolution of risk sharing is rather heterogeneous across countries. -- dynamic conditional correlation ; consumption risk …This paper studies the dynamics of international consumption risk sharing among the G7 countries. Based on the dynamic …

Persistent link: https://www.econbiz.de/10009240999

Have consumption risks in the G7 countries become diversified?

Antonakakis, Nikolaos; Scharler, Johann - 2011

conditional correlation model due to Engle (2002), we construct a time-varying, consumption-based measure of risk sharing. We find …This paper studies the dynamics of international consumption risk sharing among the G7 countries. Based on the dynamic … evolution of risk sharing is rather heterogeneous across countries. …

Persistent link: https://www.econbiz.de/10011346435

Correlation risk and optimal portfolio choice

Buraschi, Andrea (contributor); Porchia, Paolo (contributor) - 2007

Persistent link: https://www.econbiz.de/10003674267

Shrinking beta

Blitz, David; Swinkels, Laurens; Ūsaitė, Kristina; … - In: Journal of risk 24 (2022) 6, pp. 25-44

Persistent link: https://www.econbiz.de/10013549669

Household savings decision and income uncertainty

Beznoska, Martin; Ochmann, Richard - 2010

This paper empirically investigates the effects of changes in the interest rate as well as transitory income uncertainty on households' consumption-savings decision. Applying a structural demand model to German survey data, we estimate the uncompensated interest rate elasticity for savings, in...