Showing 1 - 10 of 1,831
This paper employs extreme downside risk measures to estimate the impact of the global financial crisis in 2008/2009 on …
Persistent link: https://www.econbiz.de/10015222016
The identification of periods of price exuberance in equity markets is of great interest to policy makers and financial investors. In this paper, we identify financial bubble periods within the major equity markets in Latin America. We use the recently developed recursive Augmented Dickey-Fuller...
Persistent link: https://www.econbiz.de/10015257505
El artículo investiga la incertidumbre y la interdependencia entre el mercado accionario colombiano y los principales mercados internacionales. Se estima un modelo Correlación Condicional Dinámica (DCC) para estudiar la interdependencia entre los mercados accionarios seleccionados y un modelo...
Persistent link: https://www.econbiz.de/10015263293
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
model also implies that the biggest impact on the US market risk premium is coming from the world risk component whereas the …In this paper we study international asset pricing models and pricing of global and local sources of risk in the … find global risk to be time-varying. Currency risk also found to be priced and highly time varying in the Russian market …
Persistent link: https://www.econbiz.de/10015243756
Evidence indicates that people fear change and the unknown. We offer a model of familiarity bias in which individuals focus on adverse scenarios in evaluating defections from the status quo. The model explains the endowment effect, portfolio underdiversification, home and local biases....
Persistent link: https://www.econbiz.de/10015248000
We show that in a general equilibrium model with heterogeneity in risk aversion or belief, shifting wealth from an …
Persistent link: https://www.econbiz.de/10015256019
role of economic growth on sustainable development through country risk. We have employed the structural equation modeling … to 2019. The empirical analysis based on direct effects establishes that country risk reduces economic growth and … sustainable development. Interestingly, the empirics of indirect effects reveal that country risk has a positive and significant …
Persistent link: https://www.econbiz.de/10015213641
This paper examines sustainability of current account for Turkey during the period 1987:1-2002:4. Using the usual intertemporal borrowing constraint, we have tested for a long-run relationship between two Turkey exports measures and imports measures (measured real terms and percentage to real...
Persistent link: https://www.econbiz.de/10015214124
As I am writing this book, Russia is invading Ukraine, and the world’s beliefs in global institutions, peace, humanism …
Persistent link: https://www.econbiz.de/10015214324