Business Cycle Risk in Equities, Fixed Income and Credit Markets

Autor:	Giovanni Gabriele Vecchio
Rok vydání:	2019
Předmět:	Fixed income Momentum (finance) Econometrics Economics Business cycle Capital asset pricing model Asset allocation Credit derivative Smart beta Decomposition of time series
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
Popis:	I extend the application of Bandi and Tamoni (2014)'s time series decomposition to other asset classes, such as fixed income, credit and credit derivatives, and other models, such as the Fama and French three factor model. I document a significant increase in R squared from using the decomposition across all the asset classes and models. I also exploit the time-domain properties of the decomposition to compute time-varying betas and analyse the determinants of risk across time.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::1181d08c193ad38d35de8e3ca568c666 https://doi.org/10.2139/ssrn.3396551 Zobrazit plný text záznamu