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~institution:"C.E.P.R. Discussion Papers"
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C.E.P.R. Discussion Papers
National Bureau of Economic Research
8,742
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1,562
National Bureau of Economic Research (NBER)
868
OECD
602
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106
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CEPR Discussion Papers
518
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518
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1
The Effect of Introducing a Non-redundant Derivative on the
Volatility
of Stock-Market Returns
Bhamra, Harjoat Singh
;
Uppal, Raman
-
C.E.P.R. Discussion Papers
-
2006
We study the effect of introducing a new security, such as a non-redundant derivative, on the
volatility
of stock … increases the
volatility
of stock-market returns. …
Persistent link: https://www.econbiz.de/10005114422
Saved in:
2
Volatility
, Financial Development and the Natural Resource Curse
Poelhekke, Steven
;
van der Ploeg, Frederick
-
C.E.P.R. Discussion Papers
-
2007
Cross-country evidence is presented on resource dependence and the link between
volatility
and growth. First, growth … depends negatively on
volatility
of unanticipated output growth independent of initial income per capita, the average … growth. Second, the adverse effect of resources on growth operates primarily through higher
volatility
. The positive effect …
Persistent link: https://www.econbiz.de/10005123919
Saved in:
3
Market Stress and Herding
Hwang, Soosung
;
Salmon, Mark
-
C.E.P.R. Discussion Papers
-
2004
We propose a new approach to detecting and measuring herding which is based on the cross-sectional dispersion of the factor sensitivity of assets within a given market. This method enables us to evaluate if there is herding towards particular sectors or styles in the market including the market...
Persistent link: https://www.econbiz.de/10005656282
Saved in:
4
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach
Peñaranda, Francisco
;
Sentana, Enrique
-
C.E.P.R. Discussion Papers
-
2004
and sequences of local alternatives, and analyse their asymptotic relative efficiency. We also extend the
theory
of …
Persistent link: https://www.econbiz.de/10005791800
Saved in:
5
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
Peñaranda, Francisco
;
Sentana, Enrique
-
C.E.P.R. Discussion Papers
-
2010
Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...
Persistent link: https://www.econbiz.de/10008466351
Saved in:
6
The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks
Smith, Peter N
;
Sorensen, Steffen
;
Wickens, Michael R.
-
C.E.P.R. Discussion Papers
-
2009
This paper explores the effects of the US business cycle on US stock market returns through an analysis of the equity risk premium. We propose a new methodology based on the SDF approach to asset pricing that allows us to uncover the different effects of aggregate demand and supply shocks. We...
Persistent link: https://www.econbiz.de/10005791523
Saved in:
7
Microeconomic Sources of Equity Risk
Wickens, Michael R.
-
C.E.P.R. Discussion Papers
-
2003
return
volatility
. We argue that SDF
theory
implies that this relation is misconceived. …
Persistent link: https://www.econbiz.de/10005792185
Saved in:
8
Implied
Volatility
Functions: Empirical Tests
Dumas, Bernard J
;
Fleming, Jeff
;
Whaley, Robert E
-
C.E.P.R. Discussion Papers
-
1996
Black/Scholes constant
volatility
assumption is violated in practice. These authors hypothesize that the
volatility
of the … underlying asset’s return is a deterministic function of the asset price and time, and develop the deterministic
volatility
… 1993, we evaluate the economic significance of the implied deterministic
volatility
function by examining the predictive …
Persistent link: https://www.econbiz.de/10005498195
Saved in:
9
Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
Kelly, Bryan
;
Lustig, Hanno
;
van Nieuwerburgh, Stijn
-
C.E.P.R. Discussion Papers
-
2012
We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in U.S. option markets. A large amount of aggregate tail risk is missing from the price of financial sector crash insurance during the financial crisis. The difference in costs of out-of-the-money put...
Persistent link: https://www.econbiz.de/10011083289
Saved in:
10
Carry
Koijen, Ralph
;
Moskowitz, Tobias J
;
Pedersen, Lasse Heje
; …
-
C.E.P.R. Discussion Papers
-
2013
, and
volatility
risks, its performance presents a challenge to asset pricing models. …
Persistent link: https://www.econbiz.de/10011083673
Saved in:
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