Similar Search Results

Getting Beyond Carry Trade : What Makes a Safe Haven Currency?

Habib, Maurizio Michael - 2011

There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...

Persistent link: https://www.econbiz.de/10013131638

Market efficiency in the emerging securitized real estate markets

Schindler, Felix - 2010

This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential...

Persistent link: https://www.econbiz.de/10003969878

Optimal Reserve Composition in the Presence of Sudden Stops : The Euro and the Dollar as Safe Haven Currencies

Beck, Roland - 2008

traditional portfolio objectives as debt to reserve ratios decrease. We empirically estimate optimal dollar and euro shares for 24 … reserve ratios, introducing transactions demand has a elatively modest effect. We also find that euro and dollar bonds act as … sudden stops in Asia and Latin America, while the euro is a better hedge for sudden stops in Emerging Europe. We reproduce …

Persistent link: https://www.econbiz.de/10012771394

The impact of banking and sovereign debt crisis risk in the eurozone on the euro/US dollar exchange rate

Eichler, Stefan - In: Applied financial economics 22 (2012) 13/15, pp. 1215-1232

Persistent link: https://www.econbiz.de/10009625379

Escape routes from sovereign default risk in the euro area

Semmler, Willi; Proaño Acosta, Christian - 2015

dynamics of output, sovereign debt and financial stress in some euro area and other industrialized countries. …

Persistent link: https://www.econbiz.de/10010498572

Backtesting the tail risk of VaR in holding US dollar

Wong, Woon K. - In: Applied financial economics 19 (2009) 4/6, pp. 327-337

Persistent link: https://www.econbiz.de/10003828498

How efficient is the U.K. housing market?

Schindler, Felix - 2010

Extending the controversial findings from the relevant literature, the results from the quarterly transaction-based Nationwide indices from 1974 to 2009 provide further empirical evidence on the rejection of the weak-form version of efficiency in the U.K. housing market. In addition to...

Persistent link: https://www.econbiz.de/10003969872

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

Persistent link: https://www.econbiz.de/10009535779

Measuring Contagion Potential Among Sovereigns and Banks Using a Mixed-Cross-Section GVAR

Gross, Marco - 2013

This paper aims to illustrate how a Mixed-Cross-Section Global Vector Autoregressive (MCS-GVAR) model can be set up and solved for the purpose of forecasting and scenario simulation. The application involves two cross-sections: sovereigns and banks for which we model their credit default swap...

Persistent link: https://www.econbiz.de/10013078534

Technical analysis, trading volume and market efficiency : evidence from an emerging market

Antoniou, Antonios (contributor) - In: Applied financial economics 7 (1997) 4, pp. 361-365

Persistent link: https://www.econbiz.de/10001226982

1
2
3
4
5
6
7
8
9
10
Next
Last