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This book was originally published by Westview Press, Boulder CO, 1995.
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: grid pricing, risk, simulation …
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We test for the pricing of exchange rate and foreign inflation risk in equities. Our tests are motivated by the … Adler and Dumas (1983). Both exchange rate and foreign inflation risk factors can explain part of the within-country cross …-sectional variation in returns. Our results have important implications for hedging exchange rate risk. They also demonstrate that home …
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What costs is it worth incurring to avoid the risk of climate change? People rarely think of this as a question … are (1) the probability distribution of the effects of climate change, (2) the degree to which we are risk averse, (3) the …
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This paper proposes a new approach to modeling volatility changes and clustering, we use a parsimonious high-order markov chain which allows for duration dependence.
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