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Emerging Market Return Pricing : An Intertemporal and Interquantile Approach

Milani, Bruno - 2015

The objective of this study is to analyze the return pricing dynamics in six Latin American countries based on the ICAPM model of Merton (1973) and Bekaert and Harvey (1995). We analyze Argentina, Brazil, Chile, Colombia, Mexico and Peru market return and a world market proxy return as a measure...

Persistent link: https://www.econbiz.de/10013036217

Is there a risk premium? : Evidence from thirteen measures

Fracasso, Laís Martins; Müller, Fernanda Maria; … - In: The quarterly review of economics and finance : journal … 92 (2023), pp. 182-199

Persistent link: https://www.econbiz.de/10014490275

Star-shaped acceptability indexes

Righi, Marcelo Brutti - In: Insurance : mathematics and economics 117 (2024), pp. 170-181

Persistent link: https://www.econbiz.de/10015066973

Global risk evolution and diversification : a Copula-DCC-GARCH model approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550

Persistent link: https://www.econbiz.de/10010412236

Pair copula constructions to determine the dependence structure of Treasury bond yields

Righi, Marcelo Brutti; Schlender, Sergio Guilherme; … - In: IIMB management review 27 (2015) 4, pp. 216-227

Persistent link: https://www.econbiz.de/10011481216

Risk measure index tracking model

Sant'Anna, Leonardo Riegel; Righi, Marcelo Brutti; … - In: International review of economics & finance : IREF 80 (2022), pp. 361-383

Persistent link: https://www.econbiz.de/10013342032