Search Results - subject:"Time‐varying risk"

Quantitative evaluation of contingent capital and its applications

Gupta, Anshul; Akuzawa, Toshinao; Nishiyama, Yoshihiko - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 457-486

A new type of bank regulatory capital, known as contingent capital, has emerged in tandem with discussions on the BASEL III regulatory framework but there is a lack of consensus on a standard valuation approach among those proposed so far. We think that the practical solution is to be able to...

Persistent link: https://www.econbiz.de/10011056692

The determinants of the deviations from the interest rate parity condition

Aysun, Uluc; Lee, Sanglim - Department of Economics, College of Business Administration - 2013

groups are explained by time varying risk premium. To more clearly identify risk premium shocks, we then estimate a two …

Persistent link: https://www.econbiz.de/10010959952

Market efficiency in Indian commodity futures markets

Kumar, Brajesh; Pandey, Ajay - In: Journal of Indian Business Research 5 (2013) 2, pp. 101-121

with constant and time varying risk premium. Short‐run price dynamics with constant risk premium is modeled with ECM model … and short‐run price dynamics with time varying risk premium is modeled using ECM‐GARCH in‐Mean framework. Findings – As … that for all commodities, some inefficiency exists in the short run. The authors do not find support of time varying risk …

Persistent link: https://www.econbiz.de/10014874961

Quantitative evaluation of contingent capital and its applications

Gupta, Anshul; Akuzawa, Toshinao; Nishiyama, Yoshihiko - In: The North American journal of economics and finance : a … 26 (2013), pp. 457-486

Persistent link: https://www.econbiz.de/10010367569

International Asset Excess Returns and Multivariate Conditional Volatilities

Chiang, Thomas; Yang, Sheng-Yung - In: Review of Quantitative Finance and Accounting 24 (2005) 3, pp. 295-312

the time-varying risk-premium hypothesis. Copyright Springer Science + Business Media, Inc. 2005 …

Persistent link: https://www.econbiz.de/10005542131

A Habit-Based Explanation of the Exchange Rate Risk Premium

Verdelhan, Adrien - Department of Economics, Boston University - 2005

This paper presents a fully rational general equilibrium model that produces a time- varying exchange rate risk premium and solves the uncovered interest rate parity (U.I.P) puzzle. In this two-country model, agents are characterized by slow-moving external habit preferences derived from...

Persistent link: https://www.econbiz.de/10005443363

Stock market return and volatility: day-of-the-week effect

Berument, M.; Dogan, Nukhet - In: Journal of Economics and Finance 36 (2012) 2, pp. 282-302

Persistent link: https://www.econbiz.de/10010848314

Is Volatility the Best Predictor of Market Crashes?

Tsuji, Chikashi - In: Asia-Pacific Financial Markets 10 (2003) 2, pp. 163-185

The objective of this paper is to determine the best predictor of equity market crashes by focusing particularly on volatility and market liquidity. In finance, volatility has traditionally been regarded as the best measure of market risk. However, this paper shows that the forecast value of...

Persistent link: https://www.econbiz.de/10005810960

Do bubbles and time-varying risk premiums affect stock prices? a Kalman filter approach

Chen, Lii-Tarn; Hueng, C. James; Lin, Chien-fu Jeff - In: Global Business and Economics Review 2 (2000) 2, pp. 159-171

bubbles. The time-varying risk premium model (Poterba and Summers, 1986) is used to explicitly derive the misspecification … fundamental price model does not describe the market prices well. The time-varying risk premium is important in explaining stock …

Persistent link: https://www.econbiz.de/10010669079

Size, Book to Market and Momentum Effects in the Australian Stock Market

Kassimatis, Konstantinos - In: Australian Journal of Management 33 (2008) 1, pp. 145-168

We examine the significance of the size, book-to-market and momentum risk factors in explaining portfolio returns in the Australian stock market. We compare the CAPM to a four-factor model assuming static risk premia, and find that the additional factors have significant explanatory power. Under...

Persistent link: https://www.econbiz.de/10010769444