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Improving the Market Model: The 4-State Model Alternative

JOKUNG, Octave; MEYFREDI, Jean-Christophe - EconWPA - 2004

The present paper conducts an empirical study by examining the Market Model and the three versions of the 4-State Model (translated, rotated and un-rotated) in a mean-beta framework. Using daily returns from the CAC 40 Index's assets, we find that the explanatory power of the 4-State Model is...

Persistent link: https://www.econbiz.de/10005561707

Monotonicity of asset price toward higher changes in risk

Jokung, Octave - In: Economics letters 118 (2013) 1, pp. 195-198

Persistent link: https://www.econbiz.de/10010056320

Modelling and measuring the sovereign borrower's option to default

Clark, Ephraim - In: Progress in financial markets research, (pp. 15-23). 2012

Persistent link: https://www.econbiz.de/10009678571

Sovereign debt and the cost of migration : India 1990 - 1992

Clark, Ephraim - In: Journal of Asian economics 15 (2004) 1, pp. 111-134

Persistent link: https://www.econbiz.de/10001981233

Pricing the cost of expropriation risk

Clark, Ephraim - In: Review of international economics 11 (2003) 2, pp. 412-422

Persistent link: https://www.econbiz.de/10001760814

Strategic capital budgeting : the abandonment option with political risk

Clark, Ephraim - In: Advances in financial planning and forecasting 11 (2003), pp. 113-132

Persistent link: https://www.econbiz.de/10001762171

L'évaluation du risque dans les prêts internationaux : le cas du Mexique en 1994

Clark, Ephraim - In: International economics : a journal published by CEPII … (1995), pp. 23-37

Persistent link: https://www.econbiz.de/10001196320

Political risk in Hong Kong and Taiwan : pricing the China factor

Clark, Ephraim - In: Journal of economic integration 13 (1998) 2, pp. 276-291

Persistent link: https://www.econbiz.de/10001337840

Valuing political risk

Clark, Ephraim - In: Journal of international money and finance 16 (1997) 3, pp. 477-490

Persistent link: https://www.econbiz.de/10001225548

International finance

Clark, Ephraim - 2002 - 2. ed.

Persistent link: https://www.econbiz.de/10004746393

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