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The Cross-Section of Risk-Taking and Asset Prices
Coimbra, Nuno; Jamilov, Rustam; Rey, Hélène - 2020
The distribution of institutional investor risk-taking carries significant explanatory power for the cross-section of … asset returns. We compute an investor-level Value-at-Risk (VaR) measure - our proxy for ex-ante riskiness - from a …
Persistent link: https://www.econbiz.de/10014352043
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Political uncertainty and financial market reactions : a new test
Wang, Huiqiang; Boatwright, Annie L. - In: International economics : a journal published by CEPII … 160 (2019), pp. 14-30
Persistent link: https://www.econbiz.de/10012318856
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Around-the-clock USD/MXN volatility: macroeconomic announcement spillovers and FX market intervention mechanisms
Pedroza, Wilfrido Jurado - 2021
This paper advances the literature on the dynamics of the U.S. Dollar-Mexican Peso (USD/MXN) volatility process by leveraging high-frequency data. First, it documents the factors that characterize the intraday volatility process of the USD/MXN exchange rate at high frequencies based on a sample...
Persistent link: https://www.econbiz.de/10012584134
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Commonality in liquidity : effects of monetary policy and macroeconomic announcements
Sensoy, Ahmet - In: Finance research letters 16 (2016), pp. 125-131
Persistent link: https://www.econbiz.de/10011655140
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Return seasonalities in government bonds and macroeconomic risk
Mikutowski, Mateusz; Karathanasopoulos, Andreas; … - In: Economics letters 176 (2019), pp. 114-116
Persistent link: https://www.econbiz.de/10012121248
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Dual moments and risk attitudes
Eeckhoudt, Louis R.; Laeven, Roger J. A. - In: Operations research 70 (2022) 3, pp. 1330-1341
Persistent link: https://www.econbiz.de/10013366078
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Optimal portfolio choices, house risk hedging and the pricing of forward house transactions
Fan, Gang-zhi; Pu, Ming; Ong, Seow-eng - In: The journal of real estate finance and economics 45 (2012) 1, pp. 3-29
Persistent link: https://www.econbiz.de/10009581771
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Coût du risque et risques interactifs
Eeckhoudt, Louis R.; Rey, Béatrice - In: Revue d'économie politique 114 (2004) 6, pp. 779-791
Persistent link: https://www.econbiz.de/10002528429
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Multidimensional Risk and Risk Dependence
Polanski, Arnold - 2014
Evaluating multiple sources of risk is an important problem with many applications in finance and economics. In … of multidimensional density forecasts, multidimensional Value at Risk and Dependence in Risk …
Persistent link: https://www.econbiz.de/10013059574
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Multidimensional Risk and Risk Dependence
Polanski, Arnold - 2014
Evaluating multiple sources of risk is an important problem with many applications in finance and economics. In … of multidimensional density forecasts, multidimensional Value at Risk and dependence in risk …
Persistent link: https://www.econbiz.de/10013059578