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Pricing Poseidon : extreme weather uncertainty and firm return dynamics

Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019

We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets by identifying market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic impact. Stock options on firms with establishments...

Persistent link: https://www.econbiz.de/10012181922

Pricing Poseidon : extreme weather uncertainty and firm return dynamics

Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019

Persistent link: https://www.econbiz.de/10012102573

How does Climate Risk Spillover and Uncertainty Affect US Stock Markets?

Khalfaoui, Rabeh; Mefteh-Wali, Salma; viviani, jean-laurent - 2022

In this study, we attempt to revisit how dependent the US stock market returns are on climate change-related risks (CCRR). In this regard, we use a spillover and connectedness network analysis to assess the strength of the causal effect and transmission pathway of CCRR proxies (green index,...

Persistent link: https://www.econbiz.de/10013406460

Liquidity Risk and Volatility Risk in Credit Spread Models : A Unified Approach

Perrakis, Stylianos - 2017

We present an integrated framework incorporating both exogenous liquidity risk in the secondary corporate bond market … and volatility risk in the dynamics of asset value in debt rollover models. Using an innovative theoretical approach we … values from empirical studies that volatility risk, together with deteriorating bond market liquidity, decrease both debt and …

Persistent link: https://www.econbiz.de/10012973387

Explosive oil prices

Gronwald, Marc - 2013

This paper deals with three aspects of spectacular oil price episodes such as the one witnessed in 2008. First, the concept of temporary explosiveness is proposed as an empirical method for capturing this type of behavior. The application of a recently proposed recursive unit root test shows...

Persistent link: https://www.econbiz.de/10009786017