original pool may have superior Sharpe ratio to its individual tranche components. We aim to determine the equilibrium price to … tranches in an illiquid CAPM-like world where continuous trading is impossible and neither slice risk nor idiosyncratic risk is … price is derived. Next, the approach is generalised to tranches of pools containing idiosyncratic risk …

We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both … tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in … the volatility dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes, and …

of rare books price indices based on various specifications with a view to identifying the most efficient way of … computing rare book price indices for larger samples of books. Estimating the financial return to investing in rare books in …

this study, we examine Capital Asset Pricing Model (CAPM) in its international ontext (ICAPM) using the monthly equity … country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

future crises, consistent with the volatility paradox. The results emphasize the dynamics of loss spillovers as an important …

by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset … straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …