Economic instability in emerging countries has often been attributed to countercyclical fiscal policy. The problem is further exacerbated by income volatility caused by international commodity price fluctuations, while directional hedging, as a favourite policy response, has been both costly and...

"Asymmetric Dependence (hereafter, AD) is usually thought of as a cross-sectional phenomenon. Andrew Patton describes AD as "stock returns appear to be more highly correlated during market downturns than during market upturns." (Patton, 2004) Thus at a point in time when the market return is...

Cover -- Title Page -- Copyright -- Contents -- About the Editors -- Introduction -- Chapter 1: Disappointment Aversion, Asset Pricing and Measuring Asymmetric Dependence -- 1.1 Introduction -- 1.2 From Skiadas Preferences to Asset Prices -- 1.3 Consistently Measuring Asymmetric Dependence --...

This paper analyses derives market-wide price and return series for housing investment during a 13-year period, and it also provides estimates of the individual-specific, idiosyncratic, variation in housing returns.

An unusually rich source of data on housing prices in Stockholm is used to analyze the investment implications of housing choices. This empirical analysis derives market-wide price and return series for housing investment during a 13-year period, and it also provides estimates of the...