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Does sovereign risk differ for domestic and foreign investors? : historical evidence from Scandinavian bond markets

Waldenström, Daniel (contributor) - 2005 - [Elektronische Ressource], Rev. February 18, 2005

This paper shows that geographical investor heterogeneity strongly influences sovereign risk. While standard sovereign debt models mainly attribute the absence of sovereign defaults to foreign creditor retaliation, a new theoretical literature argues that domestic creditors also affect borrowing...

Persistent link: https://www.econbiz.de/10002577962

How government bond prices reflect wartime events : the case of the Stockholm market

Waldenström, Daniel (contributor); … - 2002 - [Elektronische Ressource]

How are political events reflected in financial asset prices? Break points in sovereign debt prices are analyzed for Denmark, Norway, Finland, Sweden, Germany and Belgium during 1930-1948, using unique data from the Stockholm Stock Exchange. Unlike in countries involved in WWII, this market was...

Persistent link: https://www.econbiz.de/10001638243

A latent factor model of European exchange rate risk premia

Alexius, Annika; Sellin, Peter - 1997

Persistent link: https://www.econbiz.de/10000958083

Nonlinearities and regime shifts in financial time series

Åsbrink, Stefan E. - 1997

Persistent link: https://www.econbiz.de/10000958387

A new non-linear GARCH model

Hagerud, Gustaf E. - 1997

Persistent link: https://www.econbiz.de/10000958392

Essays on exchange rates, prices and interest rates

Alexius, Annika - 1997

Persistent link: https://www.econbiz.de/10000961609

Stylized facts of financial time series and three popular models of volatility

Malmsten, Hans (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. September 3, 2004

Properties of three well-known and frequently applied first-order models for modelling and forecasting volatility in … Conditional Heteroskedasticity (GARCH), the Exponential GARCH and the Autoregressive Stochastic Volatility model. The focus is on … heteroskedasticity ; evaluation of volatility models ; exponential GARCH ; GARCH ; modelling return series ; stochastic volatility …

Persistent link: https://www.econbiz.de/10002199620

Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations

Silvennoinen, Annastiina (contributor); … - 2005 - [Elektronische Ressource], Rev. October 2005

; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …

Persistent link: https://www.econbiz.de/10002570445

Finite dimensional Markovian realizations for stochastic volatility forward rate models

Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002

volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … conditions for the existence of a finite dimensional Markovian realizations for the stochastic volatility models. We illustrate … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

Persistent link: https://www.econbiz.de/10001664233

An application of the analogy between vector ARCH and vector random coefficient autoregressive models

He, Changli (contributor); Teräsvirta, Timo (contributor) - 2002 - [Elektronische Ressource]

; multivariate volatility model ; random coefficient model ; volatility forecasting …

Persistent link: https://www.econbiz.de/10001714621