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Why do investors buy sovereign default insurance?
Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016
We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...
Persistent link: https://www.econbiz.de/10011541398
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Sovereign contagion in Europe : evidence from the CDS market
Manasse, Paolo; Zavalloni, Luca - 2013
This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more …
Persistent link: https://www.econbiz.de/10011731038
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Interpreting implied risk-neutral densities
Hördahl, Peter; Vestin, David - 2003
This paper examine differences between risk-neutral and objective probability densities of future interest rates. The identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs, are used as indicators of actual beliefs of...
Persistent link: https://www.econbiz.de/10009635905
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Pricing of the Time-Change Risks
Shaliastovich, Ivan; Tauchen, George - Duke University, Department of Economics - 2009
We develop a discrete-time real endowment economy featuring recursive preferences and a L´evy time-change subordinator, which represents a clock that connects business time to calendar time. This setup provides a convenient equilibrium framework for pricing non-Gaussian risks, with closed-form...
Persistent link: https://www.econbiz.de/10008764957
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A Theoretical Extension of the Consumption-based CAPM Model
Li, Jingyuan; Dionne, Georges - Centre Interuniversitaire sur le Risque, les Politiques … - 2010
We extend the Consumption-based CAPM (C-CAPM) model for representative agents with different risk attitudes. We introduce the concept of expectation dependence and show that for a risk averse representative agent, it is the first-degree expectation dependence rather than the covariance that...
Persistent link: https://www.econbiz.de/10008764982
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Can signal extraction help predict risk premia in foreign exchange rates
Kiani, Khurshid M. - In: Economic Modelling 33 (2013) C, pp. 926-939
The present study investigates possible existence of time varying risk premia in Brazilian real, Chinese yuan; Cypriot pound, Danish krone, Eurozone euro, French franc, Indian rupee, Japanese yen, Pakistani rupee, and British pound forward foreign exchange rates against US dollar. Exchange rates...
Persistent link: https://www.econbiz.de/10010738030
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New tips from TIPS: Identifying inflation expectations and the risk premia of break-even inflation
Zeng, Zheng - In: The Quarterly Review of Economics and Finance 53 (2013) 2, pp. 125-139
This paper decomposes the break-even inflation rates derived from inflation-indexed bonds into inflation risk premia, liquidity risk premia, and inflation expectations. I estimate a common factor model with autoregressive conditionally heteroscedastic (ARCH) errors that extracts co-movements...
Persistent link: https://www.econbiz.de/10010868884
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Financial crises, the decoupling–recoupling hypothesis, and the risk premium on the Greek stock index futures market
Floros, Christos; Kizys, Renatas; Pierdzioch, Christian - In: International Review of Financial Analysis 28 (2013) C, pp. 166-173
Our results shed light on the contribution of local and regional factors to the risk premium on the Greek stock index futures market. Building upon the stochastic discount factor model, we estimate a multivariate exponential GARCH-in-mean model to uncover the risk premium on the FTSE/ASE-20...
Persistent link: https://www.econbiz.de/10010666205
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Stock market integration and risk premium: Empirical evidence for emerging economies of South Asia
Abid, Ilyes; Kaabia, Olfa; Guesmi, Khaled - In: Economic Modelling 37 (2014) C, pp. 408-416
This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the International Capital Asset Pricing Model (ICAPM) accounting for the deviations from Purchasing Power Parity (PPP) as well as temporal...
Persistent link: https://www.econbiz.de/10010744008
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Lévy jump risk: Evidence from options and returns
Ornthanalai, Chayawat - In: Journal of Financial Economics 112 (2014) 1, pp. 69-90
Using index options and returns from 1996 to 2009, I estimate discrete-time models where asset returns follow a Brownian increment and a Lévy jump. Time variations in these models are generated with an affine GARCH, which facilitates the empirical implementation. I find that the risk premium...
Persistent link: https://www.econbiz.de/10010752914