Search Results - subject:"Time‐varying risk"

Can time-varying risk premiums explain the excess returns in the interest rate parity condition?

Aysun, Uluc; Lee, Sanglim - In: Emerging Markets Review 18 (2014) C, pp. 78-100

by time-varying risk premium. To more clearly identify risk premium shocks, we then estimate a two-country, New Keynesian …

Persistent link: https://www.econbiz.de/10010753594

Housing and relative risk aversion

Zanetti, Francesco - In: Economics letters 123 (2014) 1, pp. 23-25

Persistent link: https://www.econbiz.de/10010399077

Can time-varying risk premiums explain the excess returns in the interest rate parity condition?

Aysun, Uluc; Lee, Sanglim - In: Emerging markets review 18 (2014), pp. 78-100

Persistent link: https://www.econbiz.de/10010417528

Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market

Al-Shboul, Mohammad; Anwar, Sajid - In: Economic modelling 37 (2014), pp. 451-463

Persistent link: https://www.econbiz.de/10010417631

Socially Responsible Investments : an international empirical study of time-varying risk premiums

Ben Ameur, Hachmi; Senanedsch, Jérôme - In: The journal of applied business research 30 (2014) 5, pp. 1513-1523

Persistent link: https://www.econbiz.de/10010470501

A decomposition of Korean sovereign bond yields : joint estimation using sovereign CDS and bond data

Kim, Jungmu; Lee, Changjun - In: Asia-Pacific journal of financial studies 43 (2014) 6, pp. 918-947

Persistent link: https://www.econbiz.de/10010476859

Counter-cyclical risk aversion

Kim, Kun Ho - In: Journal of empirical finance 29 (2014), pp. 384-401

Persistent link: https://www.econbiz.de/10011300452

House prices, expectations, and time-varying fundamentals

Gelain, Paolo; Lansing, Kevin J. - In: Journal of empirical finance 29 (2014), pp. 3-25

Persistent link: https://www.econbiz.de/10011300508

Market efficiency in Indian soybean futures markets

Ranganathan, Thiagu; Ananthakumar, Usha - In: International journal of emerging markets 9 (2014) 4, pp. 520-534

Persistent link: https://www.econbiz.de/10011336732

Macroeconomic Sources of Foreign Exchange Risk in New EU Members

Poghosyan, Tigran; Kocenda, Evzen - 2007

variability of the risk premium. KEYWORDS: foreign exchange risk, time-varying risk premium, stochastic discount factor …. Peruga (1990), “Can a Time-Varying Risk Premium Explain Excess Returns in the Forward Market for Foreign Exchange?”, Journal …), “Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M model”, Econometrica 55: 391–408 Epstein, L., and S. Zin …

Persistent link: https://www.econbiz.de/10009477186