𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Conditional Market Comovements, Welfare, and Contagions: The Role of Time‐Varying Risk Aversion

✍ Scribed by Chue, Timothy K.


Book ID
123881051
Publisher
University of Chicago Press
Year
2005
Tongue
English
Weight
226 KB
Volume
78
Category
Article
ISSN
0021-9398

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Time-varying market price of risk in the
✍ Ramaprasad Bhar; Damien Lee 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 216 KB 👁 2 views

## Abstract In this study, a three‐factor model of crude oil prices is estimated, which incorporates a time‐varying market price of risk. The model is able to accurately capture the term structure of futures prices with evidence suggesting that risk premiums in the crude oil market are time‐varying

Co-movements between US and UK stock pri
✍ Nektarios Aslanidis; Denise R. Osborn; Marianne Sensier 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 159 KB

## Abstract We provide evidence on the nature of co‐movement in monthly US and UK stock returns by investigating time‐varying correlations in returns since 1980. There is a marked increase in correlations between these markets around 2000, which we attribute to globalization and model with a time‐v