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Strengthening the FOMC's framework in view of the effective lower bound and some considerations related to time-inconsistent strategies
Duarte, Fernando; Johannsen, Benjamin K.; Melosi, Leonardo - 2020
Persistent link: https://www.econbiz.de/10012389093
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Monetary and macroprudential policy with endogenous risk
Adrian, Tobias; Duarte, Fernando; Liang, Jean Nellie; … - 2020
Persistent link: https://www.econbiz.de/10012211279
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The equity risk premium : a review of models
Duarte, Fernando; Rosa, Carlo - 2015
We estimate the equity risk premium (ERP) by combining information from twenty models. The ERP in 2012 and 2013 reached heightened levels - of around 12 percent - not seen since the 1970s. We conclude that the high ERP was caused by unusually low Treasury yields.
Persistent link: https://www.econbiz.de/10010488291
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Monetary and macroprudential policy with endogenous risk
Adrian, Tobias; Duarte, Fernando; Liang, Jean Nellie; … - 2020
Persistent link: https://www.econbiz.de/10012392502
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An empirical investigation of the factors that determine the pricing of Dutch index warrants
Roon, Frans de; Veld, Chris H. - 1994
Persistent link: https://www.econbiz.de/10000904768
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Announcement effects of convertible bond loans versus warrent-bond loans : an empirical analysis for the Dutch market
Roon, Frans de; Veld, Chris H. - 1995
Persistent link: https://www.econbiz.de/10000904875
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A study on the efficiency of the market for Dutch long term call options
Roon, Frans de; Veld, Chris H.; Wei, Jason - 1996
Persistent link: https://www.econbiz.de/10000934590
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Pricing term structure risk in futures markets
Nijman, Theodore E.; Roon, Frans de; Veld, Chris H. - 1996
Persistent link: https://www.econbiz.de/10000944055
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Testing for spanning with futures contracts and nontraded assets : a general approach
Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 1996
Persistent link: https://www.econbiz.de/10000944513
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Testing for mean-variance spanning with short sales constraints and transaction costs : the case of emerging markets
Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 1998
Persistent link: https://www.econbiz.de/10000978825