Risk premium: insights over the threshold [PDF]
, 2006 The aim of this paper is twofold: First to test the adequacy of Pareto distributions to describe the tail of financial returns in emerging and developed markets, and second to study the possible correlation between stock market indices observed returns ...
Fernandes, Jose L. B. +2 more
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Common factors of the exchange risk premium in emerging European markets [PDF]
Existing empirical evidence suggests that the Uncovered Interest Rate Parity (UIRP) condition may not hold due to an exchange risk premium. For a panel data set of eleven emerging European economies we decompose this exchange risk premium into an ...
Byrne, Joseph P, Nagayasu, Jun
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Precise large deviation of claim surplus process in a nonstandard renewal risk model with constant premium rate [PDF]
, 2013 Yinghua Dong
openalex +1 more source
Market Risk Premium Expectation: Combining Option Theory with Traditional Predictors
, 2022 Hong Liu +3 more
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The flattening of the yield curve : causes and economic policy implications [PDF]
The article examines the flattening of the yield curve in the euro area since mid 2004, and that in the United States where a slight inversion has actually been apparent since mid 2006.
M. Collin
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Macroeconomic Sources of Equity Risk [PDF]
There are very few estimates of a time-varying equity risk premium based on models that satisfy a no-arbitrage condition. The main aim of this paper is to estimate the US and UK equity risk premia implied by a number of well-known asset pricing models ...
M R Wickens, P N Smith, S Sorensen
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Relevância de Prêmio por Risco País no Custo de Capital das Empresas
RAC: Revista de Administração Contemporânea, 2015 A common practice in business valuation and the determination of fair rates of return by regulatory agencies is to use the capital asset pricing model (CAPM) with the ad hoc addition of a country risk premium.
Antonio Zoratto Sanvicente
doaj +1 more source
Are International Interest Rate Differentials Driven by the Risk Premium? The Case of Asian Countries [PDF]
This paper investigates the relationship between international interest rate differentials and the risk premium during the 1997-1998 Asian crisis. Variables standing for the accumulation of imbalances in the monetary sector are used as proxies for the ...
Vincent Bouvatier
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Algumas Considerações Sobre o Mercado de Taxa de Juros Brasileiro
Revista de Economia Mackenzie, 2007 The existence and magnitude of risk premiums in the Brazilian term structure is not clear, particularly because it’s a market in the process of development.
Rodrigo Cabral
doaj
How strong is the global integration of emerging market regions? An empirical assessment [PDF]
In recent years, various emerging market regions have actively taken part in the movements of globalization and world market integration. However, the process of financial integration appears to vary over time and differs significantly across emerging ...
Duc Khuong Nguyen, Khaled Guesmi
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