Similar Search Results

Financial Indicators Signalling Correlation Changes in Sovereign Bond Markets

De Santis, Roberto A. - 2014

We use a Smooth Transition Conditional Correlation GARCH (STCC-GARCH) model applied to the euro area monetary policy …

Persistent link: https://www.econbiz.de/10013043737

Leading Indicators of Systemic Banking Crises : Finland in a Panel of EU Countries

Lainà, Patrizio - 2015

This paper investigates leading indicators of systemic banking crises in a panel of 11 EU countries, with a particular focus on Finland. We use quarterly data from 1980Q1 to 2013Q2, in order to create a large number of macro-financial indicators, as well as their various transformations. We make...

Persistent link: https://www.econbiz.de/10013030867

Stock Market Firm-Level Information and Real Economic Activity

di Mauro, Filippo - 2011

We provide evidence that changes in the equity price and volatility of individual firms (measures that approximate the definition of 'granular shock' given in Gabaix, 2010) are key to improve the predictability of aggregate business cycle fluctuations in a number of countries. Specifically,...

Persistent link: https://www.econbiz.de/10013121824

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

Competition Among High-Frequency Traders, and Market Quality

Breckenfelder, Johannes - 2019

We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...

Persistent link: https://www.econbiz.de/10012868588

Global Crises and Equity Market Contagion

Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - 2021

Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as...

Persistent link: https://www.econbiz.de/10013315979

Investment funds under stress

Gourdel, Régis; Maqui, Eduardo; Sydow, Matthias - 2019

This paper presents a model for stress testing investment funds, based on a broad worldwide sample of primary open-end equity and bond funds. First, we employ a Bayesian technique to project the impact of macro-financial scenarios on country-level portfolio flows worldwide that are constructed...

Persistent link: https://www.econbiz.de/10012142167

Investment Funds Under Stress

Gourdel, Régis - 2019

Persistent link: https://www.econbiz.de/10012860195

Optimal Currency Shares in International Reserves : The Impact of the Euro and the Prospects for the Dollar

Papaioannou, Elias; Portes, Richard; Siourounis, Gregorios - 2021

market countries (Brazil, Russia, India and China), adding constraints that reflect a central bank's desire to hold a sizable …

Persistent link: https://www.econbiz.de/10013317364

Foreign exchange option and returns based correlation forecasts: evaluation and two applications

Castrén, Olli; Mazzotta, Stefano - 2005

We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over …-the-counter (OTC) currency option prices to a set of return-based correlation measures and assess the relative quality of the … correlation forecasts. We find that while the predictive power of implied correlation is not always superior to that of returns …

Persistent link: https://www.econbiz.de/10011604493

1
2
3
4
5
6
7
8
9
10
Next
Last