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Commodities and the market price of risk / / Shaun K. Roache
| Commodities and the market price of risk / / Shaun K. Roache |
| Autore | Roache Shaun K |
| Pubbl/distr/stampa | [Washington, District of Columbia] : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (25 p.) |
| Disciplina | 330.015195 |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Risk - Econometric models
Commodity futures - Econometric models Capital assets pricing model |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-6790-9
1-4518-7079-5 1-4519-8829-X 1-282-84172-6 9786612841729 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; I. Introduction; II. Merton's ICAPM Risk-pricing Model; A. Deriving the risk-pricing equation; B. Identifying state variables; III. Brief Review of the Literature; IV. Data; V. Estimating the Quantities and Prices of Risk; A. The macro risk exposure of commodities; B. Market prices for macro risk; VI. Results; A. Real interest rate risk is priced; B. The time-varying cost of interest rate insurance; C. Evidence for a commodity-specific risk premium; D. Model fit; VII. Conclusion; References; Appendix |
| Record Nr. | UNINA-9910463626403321 |
Roache Shaun K
|
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| [Washington, District of Columbia] : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Currency risk premia in global stock markets [[electronic resource] /] / prepared by Shaun K. Roache and Matthew D. Merritt
| Currency risk premia in global stock markets [[electronic resource] /] / prepared by Shaun K. Roache and Matthew D. Merritt |
| Autore | Roache Shaun K |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, 2006 |
| Descrizione fisica | 1 online resource (27 p.) |
| Altri autori (Persone) | MerrittMathew D |
| Collana | IMF working paper |
| Soggetto topico |
Foreign exchange rates
Foreign exchange market |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-9621-6
1-4527-4610-9 1-282-44794-7 1-4519-9116-9 9786613821140 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. PREVIOUS LITERATURE""; ""III. MODEL SPECIFICATION ""; ""IV. ESTIMATION""; ""V. DATA AND PRELIMINARY STATISTICS""; ""VI. MAIN RESULTS""; ""VII. CONCLUSIONS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910464852503321 |
|
Roache Shaun K
|
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| [Washington, D.C.], : International Monetary Fund, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Domestic investment and the cost of capital in the Caribbean [[electronic resource] /] / prepared by Shaun K. Roache
| Domestic investment and the cost of capital in the Caribbean [[electronic resource] /] / prepared by Shaun K. Roache |
| Autore | Roache Shaun K |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Research Dept., c2006 |
| Descrizione fisica | 1 online resource (46 p.) |
| Collana | IMF working paper |
| Soggetto topico |
Investments - Caribbean Area
Capital costs - Caribbean Area |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-6897-2
1-4527-3500-X 1-282-54125-0 1-4527-0339-6 9786613821966 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. TRENDS IN REGIONAL INVESTMENT 6""; ""III. LITERATURE REVIEW""; ""IV. A BASIC INVESTMENT MODEL""; ""V. DATA""; ""VI. ESTIMATION ISSUES""; ""VII. ESTIMATION RESULTS""; ""VIII. CONCLUSIONS""; ""References""; ""Data Sources and Estimates "" |
| Record Nr. | UNINA-9910464825503321 |
|
Roache Shaun K
|
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| [Washington, D.C.], : International Monetary Fund, Research Dept., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The effects of economic news on commodity prices [[electronic resource] ] : is gold just another commodity? / / Shaun K. Roache, Marco Rossi
| The effects of economic news on commodity prices [[electronic resource] ] : is gold just another commodity? / / Shaun K. Roache, Marco Rossi |
| Autore | Roache Shaun K |
| Pubbl/distr/stampa | Washington, DC, : International Monetary Fund, Research dept., 2009 |
| Descrizione fisica | 1 online resource (30 p.) |
| Altri autori (Persone) | RossiMarco |
| Collana | IMF working paper |
| Soggetto topico |
Gold
Macroeconomics Foreign exchange rates |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-4769-X
1-4527-2484-9 1-282-84354-0 1-4518-7287-9 9786612843549 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Table of contents; I. Introduction; II. Methodology; A. Literature Review; B. Data; C. Estimation Strategy; III. Results; A. Scheduled Macroeconomic Announcements; B. "Good News", "Bad News", and Volatility; IV. Conclusion; References; Appendix |
| Record Nr. | UNINA-9910463991603321 |
|
Roache Shaun K
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| Washington, DC, : International Monetary Fund, Research dept., 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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