Zobrazeno 1 - 10
of 1 746
pro vyhledávání: '"Risk premia"'
Publikováno v:
Review of Behavioral Finance, 2024, Vol. 16, Issue 6, pp. 1151-1170.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/RBF-09-2023-0249
Publikováno v:
In Research in International Business and Finance January 2025 73 Part A
Autor:
Sanveer Hariparsad, Eben Maré
Publikováno v:
South African Journal of Economic and Management Sciences, Vol 27, Iss 1, Pp e1-e13 (2024)
Background: This study focuses on diversifying fixed income attribution beyond yield and duration by identifying new risk premia applicable to various investment strategies. Aim: To identify cross-sectional bond risk factors in the South African sov
Externí odkaz:
https://doaj.org/article/dbb89ee7e6c0492aa9884166add375e4
Autor:
Chao Yang, Yajun Zhao
Publikováno v:
International Studies of Economics, Vol 18, Iss 3, Pp 277-305 (2023)
Abstract In the recent literature, increasing attention has been paid to cases when the shocks to a small number of firms would lead to large volatility in many sectors. Theorists find that supply chains play a role, as the shocks to a firm or a sect
Externí odkaz:
https://doaj.org/article/68ae19ebc0bc43d19362a886ef5303df
Publikováno v:
Financial Innovation, Vol 9, Iss 1, Pp 1-58 (2023)
Abstract This research explores upside and downside jumps in the dynamic processes of three rates: domestic interest rates, foreign interest rates, and exchange rates. To fill the gap between the asymmetric jump in the currency market and the current
Externí odkaz:
https://doaj.org/article/c7ea45c11ef043419ab0cc6dee268629
Publikováno v:
Financial Innovation, Vol 9, Iss 1, Pp 1-22 (2023)
Abstract We construct a sovereign default network by employing high-dimensional vector autoregressions obtained by analyzing connectedness in sovereign credit default swap markets. We develop four measures of centrality, namely, degree, betweenness,
Externí odkaz:
https://doaj.org/article/d615cd007a134856942f23eb1cfd84e0
Akademický článek
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Akademický článek
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Autor:
Karim Henide
Publikováno v:
Seonmul yeongu, Vol 30, Iss 2, Pp 74-88 (2022)
This paper identifies the “idiosyncratic basis”, the residual premia computed from stripping away the hypothetical cross-currency basis (CCB) from the cross-currency credit spread (CCCS) of eligible senior corporate dollar-denominated bonds relat
Externí odkaz:
https://doaj.org/article/34cff6e237274791914b1aea008ad498
Publikováno v:
International Journal of Financial Studies, Vol 11, Iss 4, p 144 (2023)
The multifactor asset pricing model derived from the Fama–French approach is extensively used in asset risk premium estimation procedures. Even including a considerable number of factors, it is still possible that omitted factors affect the estimat
Externí odkaz:
https://doaj.org/article/468da724eb324bdc9a0e32f9c7f25bf4