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Is there a missing factor? : a canonical correlation approach to factor models

Ahn, Seung Chan; Dieckmann, Stephan; Perez, M. Fabricio - In: Review of financial economics : RFE 36 (2018) 4, pp. 321-347

Persistent link: https://www.econbiz.de/10011948619

Orthogonality tests in linear models

Ahn, Seung Chan - In: Oxford bulletin of economics and statistics 59 (1997) 1, pp. 183-186

Persistent link: https://www.econbiz.de/10001223724

Comment on "IV estimation of panels with factor residuals" by D. Robertson and V. Sarafidis

Ahn, Seung Chan - In: Journal of econometrics 185 (2015) 2, pp. 542-544

Persistent link: https://www.econbiz.de/10011348941

Pricing dynamics in the market for catastrophe bonds

Carayannopoulos, Peter; Kanj, Olga; Perez, M. Fabricio - In: The Geneva papers on risk and insurance - issues and … 47 (2022) 1, pp. 172-202

Persistent link: https://www.econbiz.de/10012797136

The evolution of pay premiums for managerial attributes

Li, Si; Perez, M. Fabricio - In: The journal of corporate finance : contracting, … 69 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10012629640

Pricing Dynamics in the Market for Catastrophe Bonds

Carayannopoulos, Peter - 2018

In this paper we study the time variation of the market price of Catastrophe bonds for the period 1999-2016. While we find an overall decreasing trend in the expected loss premium, large catastrophes increase the expected loss premium by an order of 20% on average. Our empirical tests show that...

Persistent link: https://www.econbiz.de/10012929606