The response of the default risk premium to macroeconomic shocks

BT Ewing - The Quarterly Review of Economics and Finance, 2003 - Elsevier
This research is concerned with identifying the response of the default risk premium to
shocks to real output growth, inflation, and the stance of monetary policy. The paper employs …

Principles for modelling financial markets

E Platen, R Rebolledo - Journal of Applied Probability, 1996 - cambridge.org
The paper introduces an approach focused towards the modelling of dynamics of financial
markets. It is based on the three principles of market clearing, exclusion of instantaneous …

A short term interest rate model

E Platen - Finance and Stochastics, 1999 - Springer
A short term interest rate model Page 1 Finance Stochast. 3, 215–225 (1999) c Springer-Verlag
1999 A short term interest rate model Eckhard Platen University of Technology Sydney, School …

The Portuguese equity risk premium: what we know and what we don't know

R Alpalhão*, P Alves - Applied Financial Economics, 2005 - Taylor & Francis
Estimates of appropriate equity risk premiums are abundant in finance textbooks.
Unfortunately, these estimates are ill suited to small and data scarce markets such as the …

A methodology for computing and comparing implied equity and corporate-debt Sharpe Ratios

RS Goldberg - Review of quantitative finance and accounting, 2015 - Springer
This paper presents a macro-economic methodology for evaluating the forward-looking
Sharpe Ratios of the equity and debt components of the United States public company …

Long term equity risk premiums in the UK and US: A cautionary tale of weak mean reversion

A Hodgson, J Okunev - The European Journal of Finance, 2022 - Taylor & Francis
It is well established in the literature the ex post risk premium is higher than the ex ante risk
premium and can vary substantially, but little research has been conducted in modelling the …

Regime switching in the real estate risk premium

P Wilson, J Okunev, T Hutcheson… - Pacific Rim Property …, 2004 - Taylor & Francis
While a significant amount of research has been undertaken on the risk premium existing in
stock markets, very few studies have evaluated the risk premium in property markets. This …

The Portuguese Equity Risk Premium

RM Alpalhão, PF Pereira Alves - … das Ciencias do Trabalho e da …, 2002 - papers.ssrn.com
Estimates of appropriate equity risk premiums are abundant in finance textbooks.
Unfortunately, these estimates are ill suited to small and data scarce markets such as the …

Forecastable default risk premia and innovations

PA Traichal, SA Johnson - Journal of Economics and Finance, 1999 - Springer
We examine the generating process for default risk premia in short-term and long-term debt
sectors of the US economy over the recent period of January 1977 through December 1996 …

[BOOK][B] Modelling the Equity Risk Premium in the Long Term

I Davidson, J Okunev, M Tahir - 1996 - academia.edu
There has been considerable interest in recent times in studying the nature of the random
process generating the long term risk premium. Papers by Copeland (1982), Fama and …