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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10010270503
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We are All in the Same Boat : Cross-Border Spillovers of Climate Shocks Through International Trade and Supply Chain
Feng, Alan; Li, Haishi; Wang, Yulin - 2023
Are land locked countries subject to sea-level rise risk? We highlight a new mechanism by which physical climate shocks affects countries’ macro-financial performance: the cross-border spillover effects that propagate through international trade. Basing our findings on historical data between...
Persistent link: https://www.econbiz.de/10014357033
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Firm heterogeneity and credit risk diversification
Hanson, Samuel; Pesaran, Mohammad Hashem; Schuermann, Til - 2005
the U.S. and Japan across seven sectors. Ignoring parameter heterogeneity results in far riskier credit portfolios. …
Persistent link: https://www.econbiz.de/10010276169
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Aggregate Insider Trading and Stock Market Volatility in the UK
Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - 2023
This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …-regulated market, it is plausible that the main driver of the increase in stock market volatility should be the information effect …
Persistent link: https://www.econbiz.de/10014347820
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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R. - 2018
statistical methodology (quantile regressions, Markov regime-switching models, panel estimation procedures), we arrive at two …
Persistent link: https://www.econbiz.de/10012908691
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Market Efficiency in the Age of Big Data
Martin, Ian - 2020
Modern investors face a high-dimensional prediction problem: thousands of observable variables are potentially relevant for forecasting. We reassess the conventional wisdom on market efficiency in light of this fact. In our model economy, which resembles a typical machine learning setting, N...
Persistent link: https://www.econbiz.de/10012844214
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Missing Events in Event Studies : Identifying the Effects of Partially-Measured News Surprises
Gürkaynak, Refet S. - 2018
Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...
Persistent link: https://www.econbiz.de/10012908673
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Measuring Euro Area Monetary Policy
Altavilla, Carlo - 2019
We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...
Persistent link: https://www.econbiz.de/10012867012
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The Effects of the COVID-19 Pandemic on Stock Markets, CDS and Economic Activity : Time-Varying Evidence from the US and Europe
Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021
five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers … benchmark linear VAR models and then, given the evidence of parameter instability, TVP-VAR models with stochastic volatility …
Persistent link: https://www.econbiz.de/10013211119
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Long Run and Cyclical Dynamics in the U.S. Stock Market
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2021
This paper examines the long-run dynamics and the cyclical structure of various series related to the US stock market using fractional integration. We implement a procedure which enables one to consider unit roots with possibly fractional orders of integration both at the zero (long-run) and the...
Persistent link: https://www.econbiz.de/10013316966