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Tilburg, 5000 LE
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Tilburg University - Department of Finance
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Stock-Bond Return Correlation, Inflation/Output Regimes, Monetary
factor models, stock-bond return correlation, macroeconomic factors, new-Keynesian models, structural VAR, liquidity, flight-to-safety
Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds
flight-to-safety, flight-to-quality, stock-bond return correlation, liquidity, hedge funds
Cumulative prospect theory, variance risk premium, probability weighting
Cumulative prospect theory, distorted probabilities, loss aversion, variance risk premium
Cumulative prospect theory, distorted probabilities, loss aversion, variance risk premium.
Second Banking Directive, diversification, bank stock returns, charter value, risk factors
Volatility Spillovers, Regime Switching, Contagion, EMU, Financial Integration
Bank risk, business cycle
Monetary policy, regime-switching, survey expectations, New-Keynesian models, Great Moderation, macroeconomic volatility, Phillips Curve, Determinacy
monetary policy, regime-switching, survey expectations, new-keynesian models, great moderation, macroeconomic volatility, Phillips curve
Loan Default, Islamic Loans, Religion, Duration Analysis
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Duration Analysis, Islamic Loans, Loan Default, Religion
Financial integration, EMU, law of one price
Financial Integration, Home Bias, Price Differentials
International portfolio diversification, Country versus industry effects, Financial integration, Idiosyncratic risk, Time-varying correlations, Regime-switching models.
Home Bias, Market Integration, Euro, Model Uncertainty
Contagion, Financial integration, Volatility spillover models, Time-varying correlations, Regime-switching models
Bank Risk, Financial Conglomerates, Capital Adequacy, Regime-Switching Models, Basel II
Central and Eastern Europe, Financial Integration, Equity Market Development, International Diversification, Correlation Dynamics, Cross-Sectional Strategies, Parametric Portfolio Choice
Equity term structure, cross-section, implied returns
industry betas, component models, kernel, DCC-MIDAS, dispersion in betas, stock return predictability, minimum variance strategies
monitoring, influencing, stochastic frontier, multiplicative heteroscedasticity regression, partial adjustment, opaqueness, earnings forecast dispersion, bank risk
Bayesian model average, bank risk, systematic risk, bank stock returns, bank supervision, fi nancial stability
Flight-to-Safety, Causality Extraction, Textual Analysis
International portfolio diversification, Country versus Industry Effects, Financial integration, Idiosyncratic risk, Time-Varying Correlations, Regime-switching models
