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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

Financial liberalization, bank crises and growth : assessing the links

Bonfiglioli, Alessandra (contributor); … - 2004 - [Elektronische Ressource]

This paper studies the effects of financial liberalization and banking crises on growth. It shows that financial liberalization spurs on average economic growth. Banking crises are harmful for growth, but to a lesser extent in countries with open financial systems and good institutions. The...

Persistent link: https://www.econbiz.de/10002380051

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

A latent factor model of European exchange rate risk premia

Alexius, Annika; Sellin, Peter - 1997

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

A dynamic conditionally heteroscedastic stochastic frontier model

Löthgren, Mickael - 1998

Persistent link: https://www.econbiz.de/10000984774

An economic analysis of securities market regulation and supervision : where to go after the Lamfalussy report?

Niemeyer, Jonas (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001637940

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

Is momentum due to data-snooping?

Ericsson, Johan (contributor); … - 2003 - [Elektronische Ressource]

This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and NASDAQ stocks on the CRSP database. The analysis considers the period July 1963 to December 2002 and the tests are performed on portfolios formed on industry, size and...

Persistent link: https://www.econbiz.de/10001883186

Företaget som investeringsobjekt : hur placerare och analytiker arbetar med att ta fram ett investeringsobjekt

Hägglund, Peter B. - 2001

Persistent link: https://www.econbiz.de/10001606176

Success factors in asset management

Engström, Stefan - 2001

Persistent link: https://www.econbiz.de/10001628153

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