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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Beirne, John - 2009
This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...
Persistent link: https://www.econbiz.de/10013154956
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Inflation and Inflation Uncertainty in the Euro Area
Caporale, Guglielmo Maria - 2010
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates their linkages in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The main...
Persistent link: https://www.econbiz.de/10013141028
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
non-banks are often specialised. 3) When using relative net exposures as a proxy for the "flow of risk" in the IRS market …, we find that risk absorption takes place in the core as well as the periphery of the network. 4) Among the Basel III …
Persistent link: https://www.econbiz.de/10012142086
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Inflation and inflation uncertainty in the euro area
Caporale, Guglielmo Maria; Paesani, Paolo; Onorante, Luca - 2010
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates their linkages in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The main...
Persistent link: https://www.econbiz.de/10011605275
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...
Persistent link: https://www.econbiz.de/10011605159