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Fundamentally wrong : market pricing of sovereigns and the Greek financial crisis

Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - In: Journal of macroeconomics 39 (2014) 2, pp. 405-419

Persistent link: https://www.econbiz.de/10010496445

Self-fulfilling dynamics : the interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis

Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - 2016

Persistent link: https://www.econbiz.de/10011567510

Aggregation, heterogeneous autoregression and volatility of daily international tourist arrivals and exchange rates

Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669356

Modelling dynamic conditional correlations in WTI oil forward and futures returns

Lanza, Alessandro; Manera, Matteo; McAleer, Michael - 2004

This paper estimates the dynamic conditional correlations in the returns on WTI oil one-month forward prices, and one-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models. The dynamic correlations enable a determination of whether...

Persistent link: https://www.econbiz.de/10011602832