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Structural versus Temporary Drivers of Country and Industry Risk
Baele, Lieven; Inghelbrecht, Koen - EconWPA - 2005
This paper analyzes the dynamics and determinants of the relative benefits of geographical and industry diversification over the last 30 years. First, we develop a new structural regime-switching volatility spillover model to decompose total risk into a systematic and a country (industry)...
Persistent link: https://www.econbiz.de/10005408196
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Correlation Dynamics in European Equity Markets
Kearney, Colm; Poti, Valerio - EconWPA - 2005
We examine correlation dynamics using daily data from 1993 to 2002 on the 5 largest eurozone stock market indices. We also study, for comparison, the correlations of a sample of individual stocks. We employ both unconditional and conditional estimation methodologies,including estimation of the...
Persistent link: https://www.econbiz.de/10005413082
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CONTAGION AND PORTFOLIO SHIFT IN EMERGING COUNTRIES´ SOVEREIGN BONDS
Herrero, Alicia Garcia; Rios, Antonio Diez de los - EconWPA - 2004
The paper tests whether there were events of contagion, and portfolio shift, in the sovereign bond markets of eleven … emerging countries' between January 1995 and November 2001. From existing definitions, we narrow down the concept of contagion … pricing model. We measure contagion (and portfolio shift) in terms of a causal positive (negative) dynamic co-movement between …
Persistent link: https://www.econbiz.de/10005125554
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The Internationalization of Money and Finance and the Globalization of Financial Markets
Lothian, James R. - EconWPA - 2003
In this paper I combine long multi-country time series data for interest rates and stock returns with the institutional evidence for much earlier centuries amassed by economic historians to study the question of financial globalization and how it has altered since the late classical era. At...
Persistent link: https://www.econbiz.de/10005556598
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Comovement in international equity markets: A sectoral view
Berben, Robert-Paul; Jansen, W. Jos - EconWPA - 2003
industry level. We develop a novel bivariate GARCH model for equity returns with a smoothly time- varying correlation and then …
Persistent link: https://www.econbiz.de/10005134692
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The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach
SULEIMANN, Ryan - EconWPA - 2003
This article uses models with changes in regime and conditional variance to show the presence of co-movement between the American and the French New Technology indexes, the NASDAQ-100 and the IT.CAC respectively. For the past two years, American and French New Technology stock markets have been...
Persistent link: https://www.econbiz.de/10005556399
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La contagion financi`ere : une ´etude empirique sur les causalités lors de la crise asiatique
Elise, MARAIS - EconWPA - 2004
Cet article a pour objet d’´etudier empiriquement le ph´enom`ene de contagion lors de la crise asiatique de 1997 …
Persistent link: https://www.econbiz.de/10005408190
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The Contagion Effect of the Terrorist Attacks of the 11th of September
Leitao, Joao; Oliveira, Cristovao - EconWPA - 2005
associated with the Terrorist Attacks of the 11th of September of 2001, in the USA, in terms of the development of contagion … response functions are used. The occurrence of contagion is ratified by the results, starting from the terrorist attacks in the …
Persistent link: https://www.econbiz.de/10005076942
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New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach
SULEIMANN, Ryan - EconWPA - 2003
sectors has brought up the co-movement and the contagion hypothesis,especially after the fall in new technology stock prices … NASDAQ- 100 is a major origin for the shocks that the IT.CAC and the NEMAX undergo.We construct a VAR model with GARCH errors … work on contagion in the case of stock market indexes. …
Persistent link: https://www.econbiz.de/10005119158
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The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection
Hillebrand, Eric; Schnabl, Gunther - EconWPA - 2004
the early 1990s based on a GARCH framework. Using daily intervention data provided by the Japanese Ministry of Finance, we …
Persistent link: https://www.econbiz.de/10005556654