Showing 1 - 10 of 52
Fund managers compensation is a particular problem area in terms of its tax treatment in the United States and some European countries. This problem originates in the difficulty of defining these particular forms of incentive and therefore their estimated fair value. Based on the literature,...
Persistent link: https://www.econbiz.de/10010754789
The paper analyses the time-varying conditional correlations between stock markets and oil
Persistent link: https://www.econbiz.de/10010860458
This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasing power parity (PPP) as well as temporal...
Persistent link: https://www.econbiz.de/10010860502
The aim of this research is to examine the structural changes of European carbon futures price under the European Union Emissions Trading Scheme (EU ETS) during 2005-2012. More speci fically, by relying on the daily EU allowance (EUA) futures contract, we investigate the structural changes of...
Persistent link: https://www.econbiz.de/10010860508
We empirically reinvestigate the issue of excess comovement of commodity prices initially raised in Pindyck and Rotemberg (1990) and show that excess comovement, when it exists, can be related to hedging pressure and speculative intensity in commodity futures markets. Excess comovement appears...
Persistent link: https://www.econbiz.de/10010860525
The two major banks in Cyprus - Bank of Cyprus and Laiki Popular Bank - have lost more than 4 billion EUR because of their exposure to the Greek bond market. In this paper, we look at how the European Union has responded to banking and financial problems that have affected Cyprus since the end...
Persistent link: https://www.econbiz.de/10010860536
Two integrated financial markets are generally subjected to common shocks revealing that commonalities in funda- mentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory
Persistent link: https://www.econbiz.de/10010860541
This paper shows the usefulness and relevance of the multivariate fractional cointegration in exploring the dynamic
Persistent link: https://www.econbiz.de/10010860562
The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importer countries and exporter ones. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the...
Persistent link: https://www.econbiz.de/10010860563
This paper provides further evidence of the co-movements and dynamic volatility spillovers between stock markets and oil prices for a sample of four oil-exporting countries (United Arab Emirates, Kuwait, Saudi Arabia and Venezuela). We make use of a multivariate GJR-DCCGARCH approach developed...
Persistent link: https://www.econbiz.de/10010929412