Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue1-2.2000:
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and the return on the market index. The Switching Regime Beta Model SRBM is a sort of market model or better a single factor model in the APT framework where the return of a
Value at Risk VaR has become a key tool for risk management of financial institutions. The regulatory environment and the need for controlling risk in the financial community
In this paper, we study the potential of stocks as a hedge against inflation for different investment horizons. We show that stocks can be a hedge against inflation even if
As it turns out, Swiss industrials manage long-run exposure with tools such as contractual clauses, money market hedges, and operating adjustments. We call these tools
The DDMS model considered in this study is only a two-state model, however, it acts like a large N state model in that it can capture a broad range of volatility levels
This paper examines the correlation across a number of international stock market indices. As correlation is not observable, we assume it to be a latent variable whose dynamics must
A safety-first investor maximizes expected return subject to a downside risk constraint. Portfolio choice and equilibrium in capital x markets with safety-first investors. use the
a long-run equilibrium between yields, default rates, and Treasuries , mutual fund flows, minor bond ratings, debt subordination measures, a stock index, and a January
