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Displaying results 1 to 6 of 6.

  1. Monetary policy and bubbles in G7 economies
    evidence from a panel VAR approach
    Author: Caraiani, Petre; Gupta, Rangan; Nel, Jacobus; Nielsen, Joshua
    Published: [2022]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 52
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11159/8726
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2022, 30 (June 2022)
    Subjects: Multi-Scale Bubbles; Panel VAR; Monetary Policy; G7 Countries
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  2. Asset Pricing with Systematic Skewness
    Two Decades Later
    Author: Anghel, Dan; Caraiani, Petre; Rosu, Alina; Rosu, Ioanid
    Published: 2022
    Publisher:  SSRN, [S.l.]

    We reexamine the asset pricing performance of systematic skewness ("coskewness"), a risk factor in the three-moment CAPM model of Kraus and Litzenberger (1976). In an influential paper, Harvey and Siddique (2000) test a coskewness factor constructed... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We reexamine the asset pricing performance of systematic skewness ("coskewness"), a risk factor in the three-moment CAPM model of Kraus and Litzenberger (1976). In an influential paper, Harvey and Siddique (2000) test a coskewness factor constructed by sorting stocks on past coskewness. We replicate and extend their paper. Overall, coskewness appears to be priced in the cross section of stocks, especially when using an alternative coskewness proxy like (i) the predicted systematic skewness (PSS) of Langlois (2020), where coskewness is predicted by various firm characteristics, or (ii) a modified PSS factor (mPSS) that uses only return-based characteristics

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: HEC Paris Research Paper ; No. FIN-2021-1432
    Subjects: Skewness; coskewness; three-moment CAPM; persistent factors; expected return
    Scope: 1 Online-Ressource (46 p)
    Notes:

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 23, 2022 erstellt
  3. Predicting the conditional distribution of US stock market systemic stress
    the role of climate risks
    Author: Caporin, Massimiliano; Caraiani, Petre; Cepni, Oguzhan; Gupta, Rangan
    Published: [2024]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 52
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11159/653286
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2024, 07 (March 2024)
    Subjects: State stock markets; Systemic stress; Climate risks; Quantile predictions
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  4. Fiscal policy and stock markets at the effective lower bound
    Author: André, Christophe; Caraiani, Petre; Gupta, Rangan
    Published: [2023]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Verlag (kostenfrei)
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    ZSS 52
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11159/15846
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2023, 09 (May 2023)
    Subjects: Fiscal policy; Effective lower bound; VAR; Stock Market
    Scope: 1 Online-Ressource (circa 18 Seiten), Illustrationen
  5. Commodity price shocks and production networks in small open economies
    Author: Silva, Álvaro; Caraiani, Petre; Miranda-Pinto, Jorge; Olaya-Agudelo, Juan
    Published: [2023]
    Publisher:  Banco Central de Chile, Santiago, Chile

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    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 628
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Documentos de trabajo / Banco Central de Chile ; no 977 (abril 2023)
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  6. The predictive impact of climate risk on total factor productivity growth
    1880-2020
    Author: Kunene, Desiree M.; Van Eyden, Reneé; Caraiani, Petre; Gupta, Rangan
    Published: [2023]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 52
    Inter-library loan:
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11159/593808
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2023, 21 (July 2023)
    Subjects: Total factor productivity growth; climate change; temperature realised volatility; average temperature change; time-varying Granger causality
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen