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Estimation of value-at-risk under jump dynamics and asymmetric information

Chiu, Chien-liang; Lee, Ming-chih; Hung, Jui-cheng - In: Applied financial economics 15 (2005) 15, pp. 1095-1106

Persistent link: https://www.econbiz.de/10003213436

Meltdown of 1987 and meteor showers among Pacific-Basin stock markets

Choudhry, Taufiq - In: Applied financial economics 10 (2000) 1, pp. 71-80

Persistent link: https://www.econbiz.de/10001525808

Do foreign exchange risk premiums relate to the volatility in the foreign exchange and equity markets?

Jiang, Christine X.; Chiang, Thomas C. - In: Applied financial economics 10 (2000) 1, pp. 95-104

Persistent link: https://www.econbiz.de/10001525818

A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages

Masih, Abdul Mansur M. - In: Applied financial economics 7 (1997) 1, pp. 59-74

Persistent link: https://www.econbiz.de/10001219239

Stock return predictability or mismeasured risk?

Clare, Andrew D. - In: Applied financial economics 7 (1997) 6, pp. 679-687

Persistent link: https://www.econbiz.de/10001240753

Non-Monetary News in Central Bank Communication

Cieslak, Anna - 2018

We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk...

Persistent link: https://www.econbiz.de/10012911101

Market Evaluations of Banking Fragility in Japan : Japan Premium, Stock Prices, and Credit Derivatives

Ito, Takatoshi - 2010

This paper investigates movements of market indicators of banking fragility, namely, Japan premium, stock prices, and … credit derivative spreads of Japanese banks. Although the Japan premium in the euro-dollar market seemed to have virtually … indicators were high both in the first period and in the second period; Credit default swap (CDS) premium explains Japan premium …

Persistent link: https://www.econbiz.de/10012762833