Conditional risk premia in currency markets and other asset classes
The downside risk capital asset pricing model (DR-CAPM) can price the cross section of
currency returns. The market-beta differential between high and low interest rate currencies …
currency returns. The market-beta differential between high and low interest rate currencies …
A single-factor consumption-based asset pricing model
S Delikouras, A Kostakis - Journal of Financial and Quantitative …, 2019 - cambridge.org
We propose a single-factor asset pricing model based on an indicator function of
consumption growth being less than its endogenous certainty equivalent. This certainty …
consumption growth being less than its endogenous certainty equivalent. This certainty …
[PDF][PDF] Explaining macro economic changes using credit spreads
C Janssen - 2013 - thesis.eur.nl
In this paper the usefulness of credit spreads to explain changes in macro economic
variables is tested. Several new credit spread indices are created, some of them taking …
variables is tested. Several new credit spread indices are created, some of them taking …
[PDF][PDF] CONDITIONAL RISK PREMIA IN CURRENCY MARKETS AND OTHER ASSET CLASSES Martin Lettau Matteo Maggiori
M Weber - 2013 - Citeseer
The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The
market-beta differential between high and low interest rate currencies is higher conditional …
market-beta differential between high and low interest rate currencies is higher conditional …