Search Results - subject:"Time‐varying risk"

Macroeconomic Sources of Foreign Exchange Risk in New EU Members

Poghosyan, Tigran; Kocenda, Evzen - William Davidson Institute, University of Michigan - 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/10005652655

Expected Stock Returns and Variance Risk Premia

Bollerslev, Tim; Zhou, Hao - School of Economics and Management, University of Aarhus - 2007

We find that the difference between implied and realized variation, or the variance risk premium, is able to explain more than fifteen percent of the ex-post time series variation in quarterly excess returns on the market portfolio over the 1990 to 2005 sample period, with high (low) premia...

Persistent link: https://www.econbiz.de/10005787556

Dynamic correlation: A tool hedging house-price risk?

Berg, Nathan; Gu, Anthony Y.; Lien, Donald - Volkswirtschaftliche Fakultät, … - 2007

Dynamic correlation models demonstrate that the relationship between interest rates and housing prices is non-constant. Estimates reveal statistically significant time fluctuations in correlations between housing price indexes and Treasury bonds, the S&P 500 Index, and stock prices of...

Persistent link: https://www.econbiz.de/10008694163

Foreign Exchange Risk Premium Determinants: Case of Armenia

Poghosyan, Tigran; Kocenda, Evzen - Center for Economic Research and Graduate Education and … - 2006

This paper studies foreign exchange risk premium using the uncovered interest rate parity framework in a model economy. The analysis is performed using weekly data on foreign and domestic currency deposits in the Armenian banking system. Results of the study indicate that contrary to the...

Persistent link: https://www.econbiz.de/10005086595

What Determines REIT Returns in Turkey? An Application of Time-Varying Arbitrage Pricing Model in an Emerging REIT Market

EROL, Işıl; İLERİ, Adem - In: Iktisat Isletme ve Finans 28 (2013) 331, pp. 09-32

This paper investigates the macroeconomic sources of time-varying risk premia in Turkish REIT industry within the …

Persistent link: https://www.econbiz.de/10010894781

Intertemporal CAPM with Conditioning Variables

Maio, Paulo - In: Management Science 59 (2013) 1, pp. 122-141

This paper derives and tests an intertemporal capital asset pricing model (ICAPM) based on a conditional version of the Campbell-Vuolteenaho two-beta ICAPM (bad beta, good beta (BBGB)). The novel factor is a scaled cash-flow factor that results from the interaction between cash-flow news and a...

Persistent link: https://www.econbiz.de/10010990613

International risk cycles

Gourio, François; Siemer, Michael; Verdelhan, Adrien - In: Journal of International Economics 89 (2013) 2, pp. 471-484

Recent work in international finance suggests that exchange rate puzzles can be accounted for if (1) aggregate uncertainty is time-varying, and (2) countries have heterogeneous exposures to a world aggregate shock. We embed these features in a standard two-country real business cycle framework,...

Persistent link: https://www.econbiz.de/10011056319

The role of jump dynamics in the risk–return relationship

Arshanapalli, Bala; Fabozzi, Frank J.; Nelson, William - In: International Review of Financial Analysis 29 (2013) C, pp. 212-218

Surprisingly, a positive risk–return relationship has not been consistently observed for the traditional GARCH in the mean model in other studies. In this paper, we employ a combination of the jump diffusion and GARCH model in the mean equation to test the risk–return relationship for U.S....

Persistent link: https://www.econbiz.de/10010741739

Time varying stock return predictability: Evidence from US sectors

Guidolin, Massimo; McMillan, David G.; Wohar, Mark E. - In: Finance Research Letters 10 (2013) 1, pp. 34-40

This paper argues that dividend yield stock return predictability is time-varying. We conjecture that such time-variation is linked to the business cycle. Employing monthly data for US sector portfolios we estimate 5-year rolling fixed window predictive regressions. The resulting series of...

Persistent link: https://www.econbiz.de/10010617318

International Bond Risk Premia

Dahlquist, Magnus; Hasseltoft, Henrik - In: Journal of International Economics 90 (2013) 1, pp. 17-32

We find evidence for time-varying risk premia across international bond markets. Local and global factors jointly …

Persistent link: https://www.econbiz.de/10010664759