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Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets
Kilic, Erdem - In: Economic modelling 62 (2017), pp. 51-67
Persistent link: https://www.econbiz.de/10011813162
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Testing the white noise hypothesis of stock returns
Hill, Jonathan B.; Motegi, Kaiji - In: Economic modelling 76 (2019), pp. 231-242
Persistent link: https://www.econbiz.de/10012198322
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Risk spillovers between global corporations and Latin American sovereigns : global factors matter
Gómez González, José Eduardo; Uribe, Jorge; … - 2022
This paper studies volatility spillovers in credit default swaps (CDS) between the corporate sectors and Latin American countries. Daily data from October 14, 2006, to August 23, 2021, are employed. Spillovers are computed both for the raw data and for filtered series which factor out the effect...
Persistent link: https://www.econbiz.de/10014495999
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Re-examining the Turkish stock market efficiency : evidence from nonlinear unit root tests
Gozbasi, Onur; Kucukkaplan, Ilhan; Nazlıoğlu, Şaban - In: Economic modelling 38 (2014), pp. 381-384
Persistent link: https://www.econbiz.de/10010419047
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How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies
Wang, Xinyu; Qi, Zikang; Huang, Jianglu - In: Economic modelling 120 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014383984
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Does risk aversion drive financial crises? : Testing the predictive power of empirical indicators
Coudert, Virginie (contributor); Gex, Mathieu (contributor) - 2007
Persistent link: https://www.econbiz.de/10003407716
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Financial crises, exchange rate linkages and uncovered interest parity : evidence from G7 markets
Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - In: Economic modelling 66 (2017), pp. 112-120
Persistent link: https://www.econbiz.de/10011813672
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Is the survival of the euro area at risk? : an economic analysis of exit and contagion possibilities
Canofari, Paolo; Messori, Marcello - In: Economic modelling 69 (2018), pp. 58-66
Persistent link: https://www.econbiz.de/10012016083
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Is the Chinese currency substantially misaligned to warrant further appreciation?
Qin, Duo; He, Xinhua - 2010
estimation is based on a commonly used economic approach, but with a wider and more up-to-date coverage of data and a more … misalignment exists in the trilateral rates between the RMB, US$ and euro. The finding refutes the claim that RMB appreciation is …
Persistent link: https://www.econbiz.de/10003933930
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Moment and memory properties of linear conditional heteroscedasticity models, and a new model
Davidson, James E. H. - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 1, pp. 16-29
Persistent link: https://www.econbiz.de/10001891395