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Emerging markets variance shocks : local or international in origin?

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Persistent link: https://www.econbiz.de/10003765952

The international CAPM and a wavelet-based decomposition of value at risk

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Stock markets turmoil : worldwide effects of Middle East conflicts

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The international CAPM and a wavelet-based decomposition of value at risk

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What drives capital structure? : Evidence from Chilean panel data

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Time-scale decomposition of price transmission in international markets

Fernández, Viviana (contributor) - 2004 - [Elektronische Ressource]

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The credit channel in an emerging economy

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Do regional integration agreements increase business-cycle convergence? : Evidence from APEC and NAFTA

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Detection of breakpoints in volatility

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The International CAPM and a Wavelet-Based Decomposition of Value at Risk

Fernandez, Viviana - 2006

In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange-rate risk. In addition, we derive an analytical formula for time-scale value at risk and marginal value at risk (VaR) of a portfolio. We apply our...

Persistent link: https://www.econbiz.de/10012466435