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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003499671
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High and low activity spells in housing markets
Smith, Eric - 2015
This paper demonstrates the way in which stock-flow matching with endogenous seller entry generates hot and cold spells in house sales. Potential sellers know the number of bidders remaining from the last house sale. If two or more bidders remain, the seller obtains the gains to trade through...
Persistent link: https://www.econbiz.de/10011384560
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Credit Derivatives and the Default Risk of Large Complex Financial Institutions
Calice, Giovanni; Ioannidis, Christos; Williams, Julian - 2011
This paper addresses the impact of developments in the credit risk transfer market on the viability of a group of systemically important financial institutions. We propose a bank default risk model, in the vein of the classic Merton-type, which utilizes a multi-equation framework to model...
Persistent link: https://www.econbiz.de/10009302128
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Investors' trading behaviour and stock market volatility during crisis periods : a dual long-memory model for the Korean stock exchange
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...
Persistent link: https://www.econbiz.de/10012138660
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How does the EU ETS reform impact allowance prices? : the role of myopia, hedging requirements and the hotelling rule
Bocklet, Johanna; Hintermayer, Martin - 2020
the impact of the recent reform on allowance prices. By including bounded rationality such as myopia or hedging …-ante in the decision making of the firms. Myopia and hedging requirements have little impact in the prereform market but … strongly drive market outcomes after the reform. In the post-reform market, hedging requirements in combination with …
Persistent link: https://www.econbiz.de/10012291879
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The risk-adjusted carbon price
Bremer, Ton S. van den; Ploeg, Frederick van der - 2019
sensitivity and damage rate hedging effects to deal with future economic and climatic and damage risks. …
Persistent link: https://www.econbiz.de/10011996310
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On the effects of monetary policy shocks on exchange rates
Binder, Michael; Chen, Qianying; Zhang, Xuan - 2010
In this paper we re-consider the effects of monetary policy shocks on exchange rates and forward premia. In the recent empirical literature, these effects have been predominantly described as puzzling, in that they would include delayed overshooting of the exchange rate as well as persistent...
Persistent link: https://www.econbiz.de/10008696775
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Capital flight: China's experience
Cheung, Yin-Wong; Qian, Xingwang - 2010
We study the empirical determinants of China's capital flight. In addition to the covered interest differential, our empirical exercise includes a rather exhaustive list of macroeconomic variables and a few institutional factors. Overall, our regression exercise shows that China's capital flight...
Persistent link: https://www.econbiz.de/10003937044
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Market-based monetary policy uncertainty
Bauer, Michael D.; Lakdawala, Aeimit; Mueller, Philippe - 2019
markets using a novel model-free measure of uncertainty based on derivative prices. We document a systematic pattern in …
Persistent link: https://www.econbiz.de/10012001886
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The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012196296