Showing 1 - 10 of 15,818
Persistent link: https://www.econbiz.de/10011305889
Persistent link: https://www.econbiz.de/10012502122
Persistent link: https://www.econbiz.de/10014515694
Persistent link: https://www.econbiz.de/10014634019
world to U.S. based equity variance risk. We explore implications for global risk premiums and asset return comovements …Innovations in volatility constitute a potentially important asset pricing risk factor that can be tested using the … exhibit negative loadings on the variance risk factor. These exposures, combined with the average return to the variance swap …
Persistent link: https://www.econbiz.de/10012848035
Persistent link: https://www.econbiz.de/10013346726
Persistent link: https://www.econbiz.de/10014326299
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
Persistent link: https://www.econbiz.de/10011348417
Persistent link: https://www.econbiz.de/10014228041