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Warrant economics, call-put policy options and the fallacies of economic theory

Hatgioannides, John; Karanassou, Marika - 2011

plays on the world stage. The main thesis of our work is that, despite the triumphant rhetoric praising the merits of …

Persistent link: https://www.econbiz.de/10009488633

Flight to what? : dissecting liquidity shortages in the financial crisis

Dong, Feng; Wen, Yi - 2017 - This version: August, 2017

We endogenize the liquidity and the quality of private assets in a tractable incomplete-market model with heterogeneous agents. The model decomposes the convenience yield of government bond into a "liquidity premium" (flight to liquidity) and a "safety premium" (flight to quality) over the...

Persistent link: https://www.econbiz.de/10011780935

Forecasting volatility in European stock markets with non-linear GARCH models

Forte, Gianfranco; Manera, Matteo - 2002

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...

Persistent link: https://www.econbiz.de/10011598042

External crisis vulnerability in Latin America and the Caribbean

Cavallo, Eduardo A.; Fernández Arias, Eduardo - 2023

exposure to external risk factors and a structural resilience advantage to prevent exposure from leading to crises. This … analysis highlights the need for LAC economies to focus more on enhancing their risk-mitigating strategies concerning the …

Persistent link: https://www.econbiz.de/10014536612

The risk of external financial crisis

Cavallo, Eduardo A.; Fernández Arias, Eduardo; … - 2022

This paper explores the empirical determinants of external crises on a world panel dataset of 62 countries over the … fifty-year period 1970-2019 and estimates their risk trade-offs with the aim of informing macrofinancial prudential policies … to gauge the risk of external crisis: debt liabilities are the riskiest component, FDI liabilities are half as risky, and …

Persistent link: https://www.econbiz.de/10014480077

Uncertainty and stock returns in energy markets: a quantile regression approach

Cedic, Samir; Mahmoud, Alwan; Manera, Matteo; Uddin, … - 2021

The aim of this paper is to analyze the relationship between different types of uncertainty and stock returns of the renewable energy and the oil & gas sectors. We use the quantile regression approach developed by Koenker and d'Orey (1987; 1994) to assess which uncertainties are the potential...

Persistent link: https://www.econbiz.de/10012510024