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Private and public risk sharing in the Euro area
Cimadomo, Jacopo; Furtuna, Oana; Giuliodori, Massimo M. - 2017 - This version: 11 July 2017
This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over the period 1999-2015. In particular, we explore the role of financial integration versus international financial assistance for private consumption smoothing in this set of...
Persistent link: https://www.econbiz.de/10011688776
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How banks respond to distress : shifting risks in Europe's banking union
Mink, Mark; Ramcharan, Rodney; Lelyveld, Iman van - 2020
intermediaries on the prices of bonds in their portfolio. Despite the creation of a Single Supervisory Mechanism (SSM) in the EU, we … adverse solvency shocks. After regulatory solvency declines, banks increase their exposure to domestic bonds, including higher … yielding but zero risk-weight sovereign bonds. The increase in banking system risk might therefore be even larger than the …
Persistent link: https://www.econbiz.de/10012161046
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Are the S&P 500 index and crude oil, natural gas and Ethanol futures related for intra-day data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - 2016 - Revised: February 2016
The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of the fluctuations in stock and financial derivatives...
Persistent link: https://www.econbiz.de/10011441584
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How are VIX and stock index ETF related?
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016 - Revised: February 2016
As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...
Persistent link: https://www.econbiz.de/10011441620
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Modelling volatility spillovers for bio-ethanol, sugarcane and corn
Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016
commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and …
Persistent link: https://www.econbiz.de/10011441704
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The dynamic factor network model with an application to global credit-risk
Bräuning, Falk; Koopman, Siem Jan - 2016
We introduce a dynamic network model with probabilistic link functions that depend on stochastically time-varying parameters. We adopt the widely used blockmodel framework and allow the high-dimensional vector of link probabilities to be a function of a low-dimensional set of dynamic factors....
Persistent link: https://www.econbiz.de/10011566388
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Spillover dynamics for systemic risk measurement using spatial financial time series models : conference paper
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014
A new model for time-varying spatial dependencies is introduced. It forms an extension to the popular spatial lag model and can be estimated conveniently by maximum likelihood. The spatial dependence parameter is assumed to follow a generalized autoregressive score (GAS) process. The theoretical...
Persistent link: https://www.econbiz.de/10010491085
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Jump contagion among stock market indices : evidence from option markets
Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021
This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose, time and space amplification of jumps in option...
Persistent link: https://www.econbiz.de/10012650140
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A multi-criteria portfolio analysis of hedge fund strategies
Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2017
minimising expected shortfall (ERC). Backtests of the chosen portfolios for this hedge fund data set indicate that the use of MCO … is accompanied by uncertainty about the a priori choice of optimal parameter settings for the decision criteria. The … hedge fund index data. …
Persistent link: https://www.econbiz.de/10011587620
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Latent volatility granger causality and spillovers in renewable energy and crude oil ETFs
Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2018
The purpose of the paper is to examine latent volatility Granger causality for four renewable energy Exchange Traded Funds (ETFs) and crude oil ETF (USO), namely solar (TAN), wind (FAN), water (PIO), and nuclear (NLR). Data on the renewable energy and crude oil ETFs are from 18 June 2008 to 20...
Persistent link: https://www.econbiz.de/10011869279