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4 novembre 2016
- handle: 10670/1.dmx24e
- hal: hal-03930353
- doi: 10.1017/jwe.2016.15
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info:eu-repo/semantics/altIdentifier/doi/10.1017/jwe.2016.15
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Betas DCC-GARCH Fine wines Liv-ex Risk premiumSujets proches
Oenology Enology Wines VinificationCiter ce document
Eric Le Fur et al., « Time-Varying Risk Premiums in the Framework of Wine Investment », HAL-SHS : économie et finance, ID : 10.1017/jwe.2016.15
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Résumé
This article examines the time-varying risk premium with reference to investments in fine wines. Unlike previous studies, our article focuses on this issue within the context of the financial crisis. To do this, we propose the use of a conditional capital asset pricing model and a multivariate generalized autoregressive conditional heteroskedasticity model on several appellation wines worldwide. We find that Bordeaux fine wines were more volatile during the financial crisis and are less volatile in non-crisis periods. In addition, while the volatility of Burgundy wines is second only to Bordeaux wines, non-French fine wines (Australia, Italy, and USA) exhibit inverse volatility trends to French fine wines. (JEL Classifications: C50, G01, G11, Q13)