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The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners
Roca, Eduardo D.; Hatemi-J, Abdulnasser - Econometric Society - 2004
, these results give further confirmation that the latter group of markets can serve as good avenues for portfolio …
Persistent link: https://www.econbiz.de/10005063637
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That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds
Thorp, Susan - Econometric Society - 2004
optimal allocations which stochastically dominate the restricted portfolio according to Barrett-Donald (2003) tests. The …
Persistent link: https://www.econbiz.de/10005063662
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Myopic Loss Aversion, Asymmetric Correlations, and the Home Bias
Carvalho, Carlos Viana de; Amonlirdviman, Kevin - Econometric Society - 2004
risk aversion. The intuition is that it plays the role of high risk aversion in portfolio choice. But if so, should these … risk aversion? They might not because stock market returns are asymmetrically correlated. We analyze the portfolio problem …
Persistent link: https://www.econbiz.de/10005699617
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International capital flows and transmission of financial crises
Goenka, Aditya; Boschi, Melisso - Econometric Society - 2004
formation. It is shown how international portfolio choice in frictionless financial markets with habit formation is in itself a …
Persistent link: https://www.econbiz.de/10005702724
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The Spirit of Capitalism and International Risk Sharing
Chue, Timothy K. - Econometric Society - 2004
by the discount-factor-based approach of Brandt, Cochrane, and Santa-Clara (2001), even when consumption and portfolio … holdings exhibit "home bias". We also show how portfolio externalities can arise in the model, and highlight the caution that … one needs in interpreting discount-factor-based measures of international risk sharing: in the presence of portfolio …
Persistent link: https://www.econbiz.de/10005702731
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Cousin Risks: The Extent and the Causes of Positive Correlation between Country and Currency Risks
Garcia, Marcio; Lowenkron, Alexandre - Econometric Society - 2004
If country and currency risk premiums are positively correlated, a negative international liquidity shock harms twice the economy, thereby substantially increasing interest rates. This harmful positive correlation between country and currency risk premiums observed in some countries is called...
Persistent link: https://www.econbiz.de/10005328851
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The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles
Manganelli, Simone; Cappiello, Lorenzo; Gerard, Bruno - Econometric Society - 2004
We propose a semi-parametric approach to investigate whether co-dependence across markets increase in periods of extreme returns. Given that returns on one market fall in the extreme tail of their own distribution, we compute the conditional probability that returns on another market will also...
Persistent link: https://www.econbiz.de/10005328895
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Extremal Correlation for GARCH Data
Quintos, Carmela - Econometric Society - 2004
the methods introduced here have implications for risk management and portfolio allocation theory that are based on the …
Persistent link: https://www.econbiz.de/10005342216
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THE RANDOM WALK BEHAVIOUR OF STOCK PRICES: A COMPARATIVE STUDY
Cooray, Arusha - Econometric Society - 2004
: This paper tests the random walk hypothesis for the stock markets of the US, Japan, Germany, the UK, Hong Kong and Australia using unit root tests and spectral analysis. The results based upon the augmented Dicky Fuller (1979) and Phillips-Perron (1988) tests and spectral analysis find that...
Persistent link: https://www.econbiz.de/10005086418
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A Risk Management Approach to Emerging Market’s Sovereign Debt Sustainability with an application to Brazilian data
Rigobon, Roberto; Garcia, Marcio - Econometric Society - 2004
In this paper we study the question of debt sustainability from a risk management perspective. The debt accumulation equation for any country involves variables that are stochastic and closely intertwined. When these aspects are taken into consideration the notion of debt sustainability is...
Persistent link: https://www.econbiz.de/10005129802