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L’intégration intra-régionale des marchés boursiers de l’Europe du sudest : une analyse multivariée

Guesmi, Khaled; Nguyen, Duc Khuong - Institut de Préparation à l'Administration et à la … - 2014

This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasing power parity (PPP) as well as temporal...

Persistent link: https://www.econbiz.de/10010860459

Are emerging markets exposed to contagion from U.S.: Evidence from stock and sovereign bond markets

Kazi, Irfan Akbar; Wagan, Hakimzadi - Institut de Préparation à l'Administration et à la … - 2014

The aim of this article is to examine: how the dynamics of correlations between five emerging countries (Argentina, Chili, Hungary, Russia and Poland), two emerging regions (Latin America (LAC) and Europe (EU)) and U.S. evolved from January 2004 to September 2011. The main contribution of this...

Persistent link: https://www.econbiz.de/10010860495

Integration versus segmentation in Middle East North Africa equity market: Time variations and currency risk

Guesmi, Khaled; Moisseron, Jean-Yves; Teulon, Frédéric - Institut de Préparation à l'Administration et à la … - 2014

volatility, rate spread variations, Short-term interest rate and world market dividend yield. …

Persistent link: https://www.econbiz.de/10010860502

Futures trading and the excess comovement of commodity prices

Le Pen, Yannick; Sévi, Benoît - Institut de Préparation à l'Administration et à la … - 2013

We empirically reinvestigate the issue of excess comovement of commodity prices initially raised in Pindyck and Rotemberg (1990) and show that excess comovement, when it exists, can be related to hedging pressure and speculative intensity in commodity futures markets. Excess comovement appears...

Persistent link: https://www.econbiz.de/10010860525

A fear index to predict oil futures returns

Chevallier, Julien; Sevi, Benoit - Institut de Préparation à l'Administration et à la … - 2014

This paper evaluates the predictability of WTI light sweet crude oil futures by us- ing the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to ex- plain crude oil futures prices are also...

Persistent link: https://www.econbiz.de/10010860537

Energy price transmissions during extreme movements

Joëts, Marc - Institut de Préparation à l'Administration et à la … - 2013

This paper investigates price transmissions across European energy forward markets at distinct maturities during both normal times and extreme ?uctuation periods. To this end, we rely on the traditional Granger causality test (in mean) and its multivariate extension in tail distribution...

Persistent link: https://www.econbiz.de/10010860550

Cointegration of Baltic Stock Markets in the Financial Tsunami: Empirical Evidence

Masood, Omar; Bellalah, Mondher; Chaudhary, Sahil; … - Institut de Préparation à l'Administration et à la … - 2014

Persistent link: https://www.econbiz.de/10010860560

Forecasting the density of oil futures

Ielpo, Florian; Sévi, Benoît - Institut de Préparation à l'Administration et à la … - 2014

observes the implied volatility under the form of an index, namely the recent OVX, to forecast the density of oil futures … predictions, we compare the performance of time series models using implied volatility and either daily or intra-daily futures … prices. Our results indicate that models based on implied volatility deliver significantly better density forecasts at all …

Persistent link: https://www.econbiz.de/10010930520

Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps

Sévi, Benoît - Institut de Préparation à l'Administration et à la … - 2014

then show that these jumps, in conjunction with realized volatility measures, are important in modeling the convenience …

Persistent link: https://www.econbiz.de/10010930522

Regional Equity Risk Premium Convergence: The case of Japan

Guesmi, Khaled; Teulon, Frédéric - Institut de Préparation à l'Administration et à la … - 2013

This paper attempts to evaluate the time-varying integration of Japanese stock market from a regional perspective, by using a conditional version of the international capital asset pricing model (ICAPM) allowing for dynamic changes in the degree of market integration, regional market risk price,...

Persistent link: https://www.econbiz.de/10010754737