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Alternative estimating methodologies of the UK industry cost of equity capital : the impact of 2007 financial crisis and market volatility

Koulafetis, Panayiota - In: International journal of economics and finance 8 (2016) 1, pp. 111-130

Persistent link: https://www.econbiz.de/10011427815

Investor information, long-run risk, and the term structure of equity

Croce, Mariano M.; Lettau, Martin; Ludvigson, Sydney C. - In: The review of financial studies 28 (2015) 3, pp. 706-742

Persistent link: https://www.econbiz.de/10011337564

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10009746573

Jump-diffusion long-run risks models, variance risk premium and volatility dynamics

Jin, Jianjian - 2013

This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of riskneutral and realized...

Persistent link: https://www.econbiz.de/10009734341

Asset allocation and asset pricing in the face of systemic risk : a literature overview and assessment

Meinerding, Christoph - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10009624488

International financial market’s integration and modelling returns of risky assets

Hassene, Ben Mbarek - 2011

The aim of this paper is to test the ability of conditional and unconditional CAPM models to explain emerging markets … conditional CAPM) has lower predictive power for emerging markets than for developed markets. Finally, following the financial … ; unconditional CAPM ; conditional APT ; returns …

Persistent link: https://www.econbiz.de/10009711626

New return anomalies and new-Keynesian ICAPM

Cho, Sungjun - In: International review of financial analysis 29 (2013), pp. 87-106

Persistent link: https://www.econbiz.de/10010244124

Factor high-frequency based volatility (HEAVY) models

Sheppard, Kevin; Xu, Wen - 2014

Persistent link: https://www.econbiz.de/10010365630

Incomplete financial markets and jumps in asset prices

Crès, Hervé; Markeprand, Tobias; Tvede, Mich - In: Economic theory : official journal of the Society for … 62 (2016) 1/2, pp. 201-219

Persistent link: https://www.econbiz.de/10011554148

Estimating systematic risk under extremely adverse market conditions

Oordt, Maarten R. C. van; Chen Zhou - 2016

This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its...

Persistent link: https://www.econbiz.de/10011458791