Factors of the term structure of realized risk premiums in the Australian currency forward market
International Review of Economics & FinanceWe examine the term structure of realized risk premiums in the Australian Dollar–US Dollar forward market and document that these premiums are positive, time-varying, and increasing with contract maturity.
Satish Kumar +2 more
doaj +1 more source
BAYESIAN ANALYSIS OF THE COMPOUND COLLECTIVE MODEL; THE VARIANCE PREMIUM PRINCIPLE WITH EXPONENTIAL POISSON AND GAMMA-GAMMA DISTRIBUTIONS [PDF]
The distribution of the aggregate claim size is the considerable importance in insurance theory since, for example, it is needed as an input in premium calculation principles and reserve calculation which plays an important paper in ruin theory.
E. Gómez-Deniz +2 more
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Alternative Policy Designs to Help Farmers Select Profitable Conservation Practices
Agribusiness, EarlyView.ABSTRACT Voluntary private carbon initiatives (VPCIs) promote the implementation of agricultural conservation practices that mitigate emissions of greenhouse gases (GHGs) via financial incentives to participating farmers. Simultaneously, an array of public policies supports the adoption of conservation practices through technical and financial ...
Oranuch Wongpiyabovorn +1 more
wiley +1 more source
Establishing the Presence of a Risk Premium in the Cocoa Futures Market: An Econometric Analysis
Previous attempts at identifying and estimating a time-varying risk premium in the cocoa futures market yielded conflicting results. Using a longer series that includes the most recent cash and futures data, the existence of a time-varying risk premium ...
Armah, Stephen E.
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Is value premium a proxy for time-varying investment opportunities: some time series evidence [PDF]
We uncover a positive, empirical risk-return tradeoff in the stock market after controlling for the covariance of stock market returns with the value premium.
Hui Guo +3 more
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The Geography of Success: A Spatial Analysis of Export Intensity in the Italian Wine Industry
Agribusiness, EarlyView.ABSTRACT This paper investigates the paradox of how Italy's fragmented, SME‐dominated wine industry achieves global export success. Moving beyond purely firm‐centric explanations, we test whether export intensity is spatially dependent, clustering geographically in regional ecosystems.
Nicolas Depetris Chauvin, Jonas Di Vita
wiley +1 more source
On the risk-return relation in international stock markets [PDF]
We investigate the risk-return relation in international stock markets using realized variance constructed from MSCI (Morgan Stanley Capital International) daily stock price indices.
Hui Guo
core
Cost Pass‐Through in Crisis: Evidence From the German Malt‐Beer Supply Chain
Agribusiness, EarlyView.Abstract Global agri‐food supply chains are increasingly exposed to geopolitical shocks, climate volatility, and market consolidation, factors that disrupt traditional price relationships and reshape market power dynamics. Nowhere is this more visible than in the brewing sector, where agricultural raw materials meet complex industrial processing and ...
Nikolas Bublik, Lukáš Čechura
wiley +1 more source
Agribusiness, EarlyView.ABSTRACT In May 2020, China abruptly suspended imports from several major Australian beef processors, escalating a diplomatic dispute between the two countries. This trade measure disrupted one of the largest beef export relationships in the world almost overnight.
K. Aleks Schaefer, Youngjune Kim
wiley +1 more source
The Variance Risk Premium Over Trading and Nontrading Periods
Journal of Futures MarketsABSTRACTIn this paper, we decompose the variance risk premium (VRP) into overnight and intraday components using model‐free implied variance stock indices in the United States, Europe, and Asia. We find that during the nontrading overnight period, the VRP is significantly negative, whereas during the intraday trading period, the VRP becomes positive ...
Lucas Papagelis, George Dotsis
openaire +1 more source