There is strong empirical evidence that long-term interest rates contain a time-varying risk premium. Options may contain valuable information about this risk premium because their prices are sensitive to the underlying ...

The objective of this work is to perform a geometric analysis of the net present value (NPV) and Internal Rate of Return (IRR), defining analytics and in verifying the relationship between geometric properties of such ...

This dissertation evaluates implications of the uncovered interest parity (UIP) equation for the pound/dollar nominal exchange rate variation and for the return of the carry trade investment strategy. Conditioned on interest ...

There is strong empirical evidence that risk premia in long-term interest rates are time-varying. These risk premia critically depend on interest rate volatility, yet existing research has not examined the im- pact of ...

This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop ...

Multi-factor models constitute a useful tool to explain cross-sectional covariance in equities returns. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an ...