Similar Search Results

Feunou, Bruno - 2017

We propose a new decomposition of the variance risk premium (VRP) in terms of upside and downside VRPs. These components reflect market compensation for changes in good and bad uncertainties. Empirically, we establish that the downside VRP is the main component of the VRP. We find a positive and...

Persistent link: https://www.econbiz.de/10012972172

Equity price bubbles in the Middle Eastern and North African Financial markets

Jahan-Parvar, Mohammad R.; Waters, George - In: Emerging markets review 11 (2010) 1, pp. 39-48

Persistent link: https://www.econbiz.de/10003956546

An empirical investigation of stock market behavior in the Middle East and North Africa

Cheng, Ai-ru; Jahan-Parvar, Mohammad R.; Rothman, Philip - In: Journal of empirical finance 17 (2010) 3, pp. 413-427

Persistent link: https://www.econbiz.de/10009267291

Risk and return in the Tehran stock exchange

Jahan-Parvar, Mohammad R.; Mohammadi, Hassan - In: The quarterly review of economics and finance : journal … 53 (2013) 3, pp. 238-256

Persistent link: https://www.econbiz.de/10010239560

Equity returns and business cycles in small open economies

Jahan-Parvar, Mohammad R.; Liu, Xuan; Rothman, Philip - In: Journal of money, credit and banking : JMCB 45 (2013) 6, pp. 1117-1146

Persistent link: https://www.econbiz.de/10010197527

Risk–return trade-off in the pacific basin equity markets

Cheng, Ai-ru; Jahan-Parvar, Mohammad R. - In: Emerging markets review 18 (2014), pp. 123-140

Persistent link: https://www.econbiz.de/10010418078

Downside variance risk premium

Feunou, Bruno; Jahan-Parvar, Mohammad R.; Okou, Cédric - 2015

We decompose the variance risk premium into upside and downside variance risk premia. These components reflect market compensation for changes in good and bad uncertainties. Their difference is a measure of the skewness risk premium (SRP), which captures asymmetric views on favorable versus...

Persistent link: https://www.econbiz.de/10011350636

Downside variance risk premium

Feunou, Bruno; Jahan-Parvar, Mohammad R.; Okou, Cedric - 2015

Persistent link: https://www.econbiz.de/10011408562

Downside variance risk premium

Feunou, Bruno; Jahan-Parvar, Mohammad R.; Okou, Cédric - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 341-383

Persistent link: https://www.econbiz.de/10011987780

A year of rising dangerously? : the U.S. stock market performance in the aftermath of the presidential election

Blanchard, Olivier; Collins, Christopher G.; … - In: Journal of policy modeling : JPMOD ; a social science … 40 (2018) 3, pp. 489-502

Persistent link: https://www.econbiz.de/10011966075