Results 21 to 30 of about 11,077 (282)
Time-Varying Risk Attitude and Conditional Skewness
Abstract and Applied Analysis, 2014 Much literature finds that the skewness in the return distribution is negatively correlated with the risk premium coefficient, and speculation is the reason for the skewness in the return distribution. As further research, this paper, first taking up the
Zhifeng Liu, Tingting Zhang, Fenghua Wen
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Policy Design of Multi-Year Crop Insurance Contracts with Partial Payments. [PDF]
PLoS ONE, 2015 Current crop insurance is designed to mitigate monetary fluctuations resulting from yield losses for a specific year. However, yield realization tendency can vary from year to year and may depend on the correlation of yield realizations across years ...
Ying-Erh Chen, Barry K Goodwin
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Journal of Financial Markets, 2023 I provide a new monthly cross-sectional measure of stock market tail risk, SCSTR, defined as the average of the daily cross-sectional tail risk, rather than the tail risk of the pooled daily returns within a month. Through simulations, I find that SCSTR better captures monthly tail risk rather than merely the tail risk on specific days within a month ...
openaire +3 more sources
Index option returns and systemic equity risk
Journal of Finance and Data Science, 2018 In an environment characterized by stochastic variances and correlations, we demonstrate through construction of the equilibrium index option value from constituent components, that the generalized PDE identifies the stochastic elements differentially ...
Weiping Li, Tim Krehbiel
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Do sentiment indices impact the premium of prominent pricing factors?
Cogent Economics & Finance, 2018 This study investigates whether Google Search Volume Indices (GSVIs) bring shifts in the expected return of prominent pricing factors in comparison to the Volatility Index (VIX). The results show that compared to VIX, GSVIs bring less significant changes
Ranjeeta Sadhwani +2 more
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Jurnal Matematika Integratif, 2019 Investors having an understanding of investment statistics are important. Especially quantitative tools related to investment risk measurement. Value-at-Risk Adjusted is one of the investment risk measurement tools, which assumes that returns are not ...
F Sukono +4 more
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Environmental and Climate Technologies, 2020 The aim of this paper is to highlight the insurance dynamics in relation to catastrophic events and how the insurance companies approach the insured parties (contractors) for the definition of a tailored insurance policy contract.
Pagano Andrea Jonathan +2 more
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SOVEREIGN RISK ANALYSIS OF DEVELOPING COUNTRIES: FINDINGS FROM CREDIT DEFAULT SWAP PREMIUM BEHAVIOUR
Buletin Ekonomi Moneter dan Perbankan, 2011 This study conducts econometric analysis CDS Premium relations towards variables usually used as a sovereign rating explanatory. Estimation with data panel econometric found that global risk appetite is the most important influencing variable followed by
Moch Doddy Ariefianto +1 more
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Market volatility and skewness risks in China
International Review of Economics & FinanceWe examine the pricing of the risk-neutral market volatility and skewness risks in the cross-section of stocks in China. We find that stocks with high exposures to innovations in volatility or skewness exhibit low expected returns.
Fang Zhen
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Effects of Idiosyncratic Volatility in Asset Pricing
Revista Contabilidade & Finanças, 2016 This paper aims to evaluate the effects of the aggregate market volatility components - average volatility and average correlation - on the pricing of portfolios sorted by idiosyncratic volatility, using Brazilian data.
André Luís Leite +2 more
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