منابع مشابه
Extreme Global Equity Market Risk JOHN COTTER
Extreme asset price movements appear to be more pronounced over time and have major consequences for an economy’s financial stability and monetary policies. This paper investigates the extreme behaviour of equity market returns and quantifies the probabilities of these losses. Taking fourteen major equity markets the study illustrates similarities and divergences in the tail returns from around...
متن کاملEquity Market Volatility and Expected Risk Premium
This paper revisits the time-series relation between the conditional risk premium and variance of the equity market portfolio. The main innovation is that we construct a measure of the ex ante equity market risk premium using corporate bond yield spread data. This measure is forward-looking and does not rely critically on either realized equity returns or instrumental variables. We find strong ...
متن کاملModelling extreme financial returns of global equity markets
Extreme asset price movements appear to be more pronounced recently and have major consequences for an economy’s financial stability and monetary policies. This paper investigates the extreme behaviour of equity market returns and quantifies the probabilities of these losses. Taking fourteen major equity markets the study is able to ascertain similarities and divergences in the tail returns fro...
متن کاملA Dynamic Model of Extreme Risk Coverage Resilience and Efficiency in the Global Reinsurance Market
The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about development issues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry the names of the authors and should be cited accordingly. The findings, interpretations, and conclusions expresse...
متن کاملForeign Exchange Market and Equity Risk Premium Forecasting
Numerous academic studies examine equity risk premium predictability based on various macroeconomic variables and price and volume based variables from stock market. In this article, we extend the frontier of the set of predictors from macroeconomic variables and stock market variables to foreign exchange market variables due to various reasons. Firstly, foreign exchange market reflects various...
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ژورنال
عنوان ژورنال: Journal of Derivatives & Hedge Funds
سال: 2011
ISSN: 1753-965X
DOI: 10.1057/jdhf.2011.14