Three essays on extremes and non-linearities in asset pricing:
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | Volltext Volltext Inhaltsverzeichnis |
| Physical Description: | VI, 138 S. graph. Darst. |
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Record in the Search Index
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| adam_text | Titel: Three essays on extremes and non-linearities in asset pricing
Autor: Riedel, Christoph
Jahr: 2013
Contents
1 Preface 1
2 Time-Varying Conditional Market Returns: Is Variance or Tail Risk
Priced? 9
2.1 Introduction......................................................................11
2.2 Theoretical Framework for Pricing of Tail Risk................................14
2.3 The Dataset......................................................................17
2.4 Estimation Methodology........................................................18
2.5 Empirical Results................................................................24
2.5.1 Tail Index Estimates....................................................24
2.5.2 Forecasting weekly index returns ......................................27
2.5.3 Robustness checks ......................................................29
2.6 Explaining Market Wide Tail Risk..............................................46
2.7 Conclusion........................................................................52
3 Credit Cycle Dependent Spread Determinants in Emerging Sovereign
Debt Markets 63
3.1 Introduction......................................................................65
3.2 Methodology ....................................................................67
3.3 Data..............................................................................70
3.3.1 Latin American Sovereign Eurobond Issues............................70
3.3.2 Sovereign Spread Changes and Descriptive Statistics ................71
3.3.3 Explanatory Variables..................................................72
3.4 Empirical Analysis..............................................................73
3.4.1 Unconditional Estimation Results......................................73
3.4.2 Conditional Estimation Results........................................75
3.5 Conclusion........................................................................83
4 Modeling the Dependence Structure between Aggregate Market Tail
Risk and Expected Returns 87
4.1 Introduction......................................................................89
4.2 Introduction to Copula Theory ................................................91
4.3 Methodology for Modeling Multivariate Time Series Models ................95
4.4 Models for the Marginal Distributions.....................100
4.5 Copula Parameter Estimation.........................108
4.6 Conclusion....................................119
5 Epilog 124
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| discipline | Wirtschaftswissenschaften |
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| spelling | Riedel, Christoph 19XX- Verfasser (DE-588)1049593537 aut Three essays on extremes and non-linearities in asset pricing Christoph Hermann Riedel 2013 VI, 138 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Passau, Univ., Diss., 2014 Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Capital-Asset-Pricing-Modell (DE-588)4121078-5 s DE-604 Erscheint auch als Online-Ausgabe urn:nbn:de:bvb:739-opus-27172 http://www.opus-bayern.de/uni-passau/volltexte/2014/2717/ Verlag Volltext https://nbn-resolving.org/urn:nbn:de:bvb:739-opus-27172 Resolving-System Volltext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027139351&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Riedel, Christoph 19XX- Three essays on extremes and non-linearities in asset pricing Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
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| title | Three essays on extremes and non-linearities in asset pricing |
| title_auth | Three essays on extremes and non-linearities in asset pricing |
| title_exact_search | Three essays on extremes and non-linearities in asset pricing |
| title_full | Three essays on extremes and non-linearities in asset pricing Christoph Hermann Riedel |
| title_fullStr | Three essays on extremes and non-linearities in asset pricing Christoph Hermann Riedel |
| title_full_unstemmed | Three essays on extremes and non-linearities in asset pricing Christoph Hermann Riedel |
| title_short | Three essays on extremes and non-linearities in asset pricing |
| title_sort | three essays on extremes and non linearities in asset pricing |
| topic | Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| topic_facet | Capital-Asset-Pricing-Modell Hochschulschrift |
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