Zobrazeno 1 - 10
of 71
pro vyhledávání: '"Rajnish Mehra"'
Publikováno v:
The Journal of Portfolio Management. 46:144-159
The VIX index is not traded on the spot market. Hence, in contrast to other futures markets, the VIX futures contract and spot index are not linked by a no-arbitrage condition. The authors examine (1) whether predictability in the VIX index carries o
In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition results in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6221ff7f76b8636b6689d3d0b675236c
https://hdl.handle.net/10419/253602
https://hdl.handle.net/10419/253602
Autor:
John B. Donaldson, Rajnish Mehra
This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the “Average
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eb8ce53e9cbb5322293e6fa23a5c0f12
https://hdl.handle.net/10419/253603
https://hdl.handle.net/10419/253603
Autor:
John B. Donaldson, Rajnish Mehra
This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the “Average
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6fc68a68e911f98afd35679e0b55664c
https://doi.org/10.3386/w25519
https://doi.org/10.3386/w25519
Autor:
Rajnish Mehra, John B. Donaldson
Publikováno v:
SSRN Electronic Journal.
We evaluate the properties of mean reversion and mean aversion in asset prices and returns as commonly characterized in the finance literature. The study is undertaken within a class of well-known dynamic stochastic general equilibrium models and sho
Publikováno v:
SSRN Electronic Journal.
The VIX index is not traded on the spot market. Hence, in contrast to other futures markets, the VIX futures contract and spot index are not linked by a no-arbitrage condition. We examine (a) whether predictability in the VIX index carries over to th
Publikováno v:
SSRN Electronic Journal.
Lucas (1990) argues that the neoclassical adjustment process fails to explain the relative paucity of FDI inflows from rich to poor countries. In this paper we consider a natural experiment: using China as the treated country and India as the control
Publikováno v:
SSRN Electronic Journal.
Following the introduction of the one-child policy in China, the capital-labor ratio of China increased relative to that of India, while FDI/GDP inflows to China vs India simultaneously declined. These observations are explained in the context of a s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::927e7996a698059493e2f99bcf7bef87
https://doi.org/10.3386/w24256
https://doi.org/10.3386/w24256