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Tracking Global Economic Uncertainty : Implications for the Euro Area
Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, … - 2021
This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...
Persistent link: https://www.econbiz.de/10013231373
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A Double Correlated Three Factor Model for a Crude Oil Market
Fileccia, Gaetano - 2015
In this paper we analyze spot prices and futures quotation data to get inference under both the historical and the risk … NYMEX market).While big part of research and techniques in finance deals with risk neutral modeling or with modeling under … the risk-neutral and the historical dynamics features …
Persistent link: https://www.econbiz.de/10013027655
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Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant...
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction … Liquidity Risk Revisited: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of … current relevance and interest in the ongoing state of Global Financial Markets wherein Liquidity Risk is playing a central …
Persistent link: https://www.econbiz.de/10013403261
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Global Finance Liquidity Risk Revisited : JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset Classes
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models … Guided Teams of Quants, Portfolio Managers and Managing Directors: Built Liquidity Risk Modeling System for Deployment by the … all liquidity risk models, methods, and measures.Led project management & scheduling and delivering high quality results …
Persistent link: https://www.econbiz.de/10013405318
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Dynamic Asset Allocation Based on Valuation and Momentum Applied to a Global All-Equity Portfolio
White, James - 2020
attractive risk-adjusted returns than a static-weight approach. However, the above-cited research has been mostly silent on the … explores this question. It finds that such a dynamic approach would have produced higher absolute returns, and higher risk …
Persistent link: https://www.econbiz.de/10012838940
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Climate risk and commodity currencies
Kapfhammer, Felix; Larsen, Vegard Høghaug; Thorsrud, … - 2020
proposing a novel news media-based measure of climate change transition risk and show that when such risk is high, major …
Persistent link: https://www.econbiz.de/10012391358
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Was Prometheus Unbound by Chance? Risk, Diversification, and Growth
Acemoglu, Daron; Zilibotti, Fabrizio - 1997
growth. At early stages of development, the presence of indivisible projects limits the degree of risk spreading …
Persistent link: https://www.econbiz.de/10014078038
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Determinants of Economic Growth : A Bayesian Panel Data Approach
Moral-Benito, Enrique - 2010
Model uncertainty hampers consensus on the key determinants of economic growth. Some recent cross-country cross-sectional analyses have employed Bayesian Model Averaging to tackle the issue of model uncertainty. This paper extends that approach to panel data models with country-specific fixed...
Persistent link: https://www.econbiz.de/10013137102
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Global Spillover Effects of US Uncertainty
Bhattarai, Saroj - 2019
Spillover effects of US uncertainty shocks are studied in a panel VAR of fifteen emerging market economies (EMEs). A US uncertainty shock negatively affects EME stock prices and exchange rates, raises EME country spreads, and decreases capital inflows into them. It decreases EME output and...
Persistent link: https://www.econbiz.de/10012900631
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Global Long-run Risk and International Business Cycles : A Factor-Stochastic Volatility Approach
Figueiredo, Calebe - 2018
and that countries share global long-run risk and propose a theoretical framework that rationalizes the dynamics of …
Persistent link: https://www.econbiz.de/10012908986