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Modelling volatility during the current financial crisis : an empirical analysis of the US and the UK stock markets

Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International journal of trade and global markets 5 (2012) 3/4, pp. 171-194

Persistent link: https://www.econbiz.de/10009722142

The role of collateral in credit markets

Atta-Mensah, Joseph - In: Journal of mathematical finance 5 (2015) 4, pp. 315-327

Persistent link: https://www.econbiz.de/10011438563

A puzzle of excessive equity risk premium and the case of Poland

Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 1, pp. 1-11

The article presents a historical review of the literature related to the empirical problem of excessive risk premium. The risk premium (the difference between the return on equities and risk-free rate) observed in financial markets cannot be reconciled with theoretical models of financial...

Persistent link: https://www.econbiz.de/10011539760

On stranded assets and climate risk : are financial markets the last resort?

Fodha, Mouez; Kirat, Djamel; Zaki, Chahir - 2021

Persistent link: https://www.econbiz.de/10012793553

Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market

Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13

The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model. The model allows for asymmetric risk premia, causality...

Persistent link: https://www.econbiz.de/10012422545