We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from...

We investigate the determinants of international stock market co-movements, shedding light on the relevance of politics-related factors.

This paper revisits the discussion about the role that fundamentals play in asset prices using sovereign credit spread data.

Exchange Rate Predictability In Emerging Markets

Systematic Longevity Risk: To Bear or to Insure?

Momentum risk premium is one of the most important alternative risk premia. Since it is considered a market anomaly, it is not always well understood....

The concept of alternative risk premia is an extension of the factor investing approach.

Introducing gender in finance education in a European Business School: lessons, recommendations and challenges

Dynamics of Variance Risk Premia, Investors? Sentiment and Return Predictability

This paper revisits the pricing of options, in a context of financial stress, when the underlying asset’s returns displays skewness and excess kurtosis.

Non normal distributions are a fact of life. In the financial world, many distributions display tail risk, i.e. (negative) skewness and excess kurtosis.

The admission by the Greek government on October 18, 2009, of large-scale accounting fraud in its national accounts sparked an unprecedented sovereign...

According to the macro-econometric literature, the impact of exogenous oil price shocks on Inflation have greatly increased in the last two decades throughout...

The standard indices available for the bond investment markets, are composed of securities that are weighed by the size of the outstanding debt, and are...