A Behavioral Model of the Performances for Emerging Financial Markets in the Context of Actual Global Crisis
نویسندگان
چکیده
The interest is to model the value loss suffered by assets in the global crisis by considering both the cross section and the time variation. The volatility of assets is given by the variations at risk premium levels. The generalized model is inspired from the common framework for stock, bonds, exchange rates (Cocharane, 1999, Gabaix, 2008) and is equipped with two kinds of shocks, one real for the capital market and one nominal, for the money market
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تاریخ انتشار 2009