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Risk spillovers between global corporations and Latin American sovereigns : global factors matter
Gómez González, José Eduardo; Uribe, Jorge; … - 2022
This paper studies volatility spillovers in credit default swaps (CDS) between the corporate sectors and Latin American countries. Daily data from October 14, 2006, to August 23, 2021, are employed. Spillovers are computed both for the raw data and for filtered series which factor out the effect...
Persistent link: https://www.econbiz.de/10014495999
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Financial contagion and networks among the oil and BRICS stock markets during seven episodes of crisis events
Hsiao, Cody Yu-Ling; Chiu, Yi-Bin - In: Journal of international money and finance 144 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10014551381
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How much does volatility influence stock market returns? : empirical evidence from india
Saraf, Malvika; Kayal, Parthajit - 2022
Persistent link: https://www.econbiz.de/10014226507
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Spillover effects of capital controls on capital flows and financial risk contagion
Fan, Haichao; Gou, Qin; Peng, Yuchao; Xie, Wenjing - In: Journal of international money and finance 105 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012395259
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Do capital controls make gross equity flows to emerging markets less volatile?
Li, Jie; Rajan, Ramkishen S. - In: Journal of international money and finance 59 (2015), pp. 220-244
Persistent link: https://www.econbiz.de/10011478337
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Size matters : the impact of financial liberalization on individual firms
Chritoffersen, Peter; Chung, Hyunchul; Errunza, Vihang R. - In: Journal of international money and finance 25 (2006) 8, pp. 1296-1318
Persistent link: https://www.econbiz.de/10003398660
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Stock market cycles, financial liberalization and volatility
Edwards, Sebastian; Biscarri, Javier Gómez; Perez de … - In: Journal of international money and finance 22 (2003) 7, pp. 925-955
Persistent link: https://www.econbiz.de/10001838521
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Uncertainty, capital flows, and maturity mismatch
Converse, Nathan - In: Journal of international money and finance 88 (2018), pp. 260-275
Persistent link: https://www.econbiz.de/10012000945
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Do volatile capital flows put ASEAN+3 growth at risk?
Oeking, Anne; Gabriella, Laura Grace - 2022
Persistent link: https://www.econbiz.de/10013367365
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Financial Implications of the EU Emission Trading System : an analysis of wavelet coherence and volatility spillovers
De Ponti, Pietro; Romagnoli, Matteo - 2022
We study the European Union's Emission Trading System (EU ETS) from a financial perspective. Using ARMA-eGARCH filtered volatilities, we first discuss the evolution of the volatility of EU ETS allowances' returns from 2008 to 2021. Second, we study the degree of co-movement and interdependence...
Persistent link: https://www.econbiz.de/10013361266