allows us to go beyond conventional correlation analyses and volatility-spillover models confined to studying pairwise …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model … returns: an average correlation premium. This premium is both statistically and economically significant, and considerably …-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

The paper describes the specification, estimation, and testing of an unrestricted structural econometric model design … estimated using the MIDAS (Mixed Data Sampling) regression methodology, which supports estimation of regressions with variables …

comparison to the CAPM. In the case of Croatian stock market, size and B/M factors are not always significant, but on average …

The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in …. The main contribution of the paper is the estimation of dynamic betas for Ibovespa shares, which can be useful for …