Time Varying Market Risk
Time varying global and local sources of risk in Russian stock market
... The change in Russian short term interest rates (∆LRF) and the change in the price of oil (∆OPEC) are expected to reflect investors’ expectations regarding the Russian currency. For example, the use of short term ...
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Time Varying Macroeconomic Risk and Industry Stock Returns: Empirical Evidence from India
... conditions. Market return is the most significant factor which contributes to the variations in industrial stock returns in ...of risk premium at least for the market risk associated with the ...
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The Time Varying Risk and Return Trade Off in Indian Stock Markets
... both market return series and the results are presented in Table ...two market return ...the market return series should be considered stationary, returns display a degree of time ...
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Risk Estimation when the Zero Probability of Financial Return is Time Varying
... with time-varying zero probabilities affect volatility dynamics, Value-at-Risk and Expected Shortfall in practice, we revisit three of the return series in Sucarrat and Escribano ...stock ...
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Portfolio Value at Risk with Time Varying Copula: Evidence from the Americas
... This paper chooses copula methodology to estimate the value-at-risk of a portfolio constructed with the Brazilian stock exchange market and Mexican stock exchange market in equal proportion. The ...
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Socially Responsible Investments: An International Empirical Study Of Time-Varying Risk Premiums
... premise is that SRI excludes some assets and creates portfolio diversification limitations, and cannot, all other things being equal, provide abnormal returns. SRI can, at best, achieve exactly the same performance as ...
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Exploring the Priced Factors in ICAPM in Japan
... described, market risk premium equation (3) includes the covariance variables derived by the mul- tivariate GARCH ...between market return and the illiquidity measure) and CLCIP ...
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Quantifying time varying term risk premia in shipping markets
... different market values simply because they have different financial struc- ...that market forces would operate to ensure that this constraint was ...financial risk in the form of alterations to the ...
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Time Varying Quantile Lasso
... financial market. The Standard & Poor’s 500 stock market index (S&P500) moves in opposite direc- tion of b λ, which can also provide some information about behaviour of b λ in connection to the ...
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Liquidity Risk and Time Varying Correlation Between Equity and Currency Returns
... regimes. Time span of data covers 1991/1 to ...of time, especially during times of economic ...run risk framework devel- oped by Bansal and Shaliastovich ...‘equity market liquidity’, which is ...
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Modelling Time varying Bond Risk Premia for Utilities Industry
... and risk premia on systematic changes in credit spreads (if no default ...money market rates, while other two factors account for differences in credit risk of the different money market ...
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Indian Equity Market Integration: Analysis of time-varying correlations with global equity indices
... The graphs in the results section re-emphasize the previous findings of high degree of correlations noticed during periods of high volatility or financial crisis. In the analysis we find that in recent times, the levels ...
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Risk Correlation Based on Time Varying Copula Function and Extreme Value Theory
... portfolio, risk management and assets pricing, the depiction of the correlation of financial assets, and the tail correlation structure in particular, is of great ...financial market correlation mainly ...
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Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms
... to market equity (the ratio of book value of common equity to its market value), earning/price, cash flow/price, past sales growth [Banz (1983), Rosenbag, Raid and Lanstein (1985) and Lakonshok, Shleifer ...
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Time Varying Exchange Rate Risk Premium
... rate risk premium on one economy with controlled floating exchange rate ...The risk premium is determined by the economic growth rate, inflation rate, foreign capital inflows, and liquidity ...the ...
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Value at Risk Based on Time Varying Risk Tolerance Level
... of market risk manage- ment has been in two leading directions: 1) it is often not possible to find a risk model which accurately predicts the data generating process and 2) input pa- rameters are ...
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Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM
... through time in the ...over time performed well as compared to the standard CAPM where the firms’ betas were assumed to be ...Stock Market also concluded that CCAPM could provide a better result for ...
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Foreign direct investment in emerging markets and acquirers' value gains
... the market reaction to these ...a time-varying variable not previously investigated within the context of wealth effects of ...a time-varying political risk ...or market ...
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The Time Varying Risk Price of Currency Carry Trades
... negative risk price at the crisis reported in Section 4, we consider the interpretation of this ...a risk factor, the strategy should have negative returns in ...and risk prices in a downside stock ...
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Time varying correlation between oil and stock market volatilities: Evidence from oil importing and oil exporting countries
... stock market has lower values compared to Japan and the ...stock market index does not receive a significant impact oil prices, especially until the global financial ...stock market was mainly driven ...
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