Showing 1 - 10 of 3,486
This paper derives the expressions of correlations between prices of two assets, returns of two assets, and price-return correlations of two assets that depend on statistical moments and correlations of the current values, past values, and volumes of their market trades. The usual...
Persistent link: https://www.econbiz.de/10015214639
Stearns and Lehman Brothers with counterparty risk effects on other financial institutions; the commodity price bubble, and …
Persistent link: https://www.econbiz.de/10015215231
This is the first paper in the literature to match key business cycle moments and long-run equity returns in a small open economy with production. These results are achieved by introducing three modications to a standard real business cycle model: (1) borrowing and lending costs are imposed to...
Persistent link: https://www.econbiz.de/10015217375
returns. Changes in expected returns may be related to time variation in betas and risk prices. We investigate this issue in … carry trades and find clear evidence of time-varying risk prices for the carry factor (HMLFX). The results further indicate … that time-varying risk prices are more important than time-varying betas for the carry trade asset pricing model. This …
Persistent link: https://www.econbiz.de/10015257149
Textual analysis of the NBER Working Papers published during 1999–2016 is done to assess the effects of the 2007–2009 crisis on the academic literature. The volume of crisis-related WPs is counter-cyclical, lagging the financial-instability-index. WPs by the Monetary-Economics,...
Persistent link: https://www.econbiz.de/10015266578
Textual analysis of 14,270 NBER Working Papers published during 1999–2016 is done to assess the effects of the 2008 crisis on the economics literature. The volume of crisis-related WPs is counter-cyclical, lagging the financial-instability-index. WPs by the Monetary-Economics, Asset-Pricing,...
Persistent link: https://www.econbiz.de/10015266597
In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...
Persistent link: https://www.econbiz.de/10015241474
The purpose of this paper is to explore the impact of BRICS unions’ currency on the Dollar and its performances on international trade among the nations. The compound reviews of literature on the classical, neo classical and modern theories of trade reveals the non existence of research works...
Persistent link: https://www.econbiz.de/10015213296
The purpose of this paper is to explore the impact of BRICS unions’ currency on the Dollar and its performances on international trade among the nations. The compound reviews of literature on the classical, neo classical and modern theories of trade reveals the non existence of research works...
Persistent link: https://www.econbiz.de/10015213311
Through an empirical analysis of the impact of fluctuations in the international prices of crude oil, natural gas ‎and wheat on the US stock market performance, the study seeks to show evidence of the investor social ‎network sentiment effects post the Ukraine war declaration on February 24,...
Persistent link: https://www.econbiz.de/10015213458