The dimension of the interest rate changes impact on bond prices depends on bond duration and convexity. The present paper uses a partial durations approach, combined with convexity measures and maturity segmentation, to estimate the impact of the Euro area yield curve shifts on the values of...

This article presents an empirical analysis of integration and performance of the five biggest stock markets of the Euro area: France, Germany, Holland, Italy and Spain. This empirical analysis begins with the estimation of an EMU market model with time-varying beta coefficients, which is the...

This article studies the international integration of twelve Eastern Europe Stock Markets and two Middle East Stock Markets. It is commonly accepted that the returns in these markets have a low correlation with the other markets, which means that they are still weakly integrated in the world...

This article shows that the equilibrium models of bond pricing do not preclude arbitrage opportunities caused by convexity. Consequently, stochastic durations derived from these models are limited in their ability to act as interest rate risk measures. The research of the present article makes...

This article studies the linkages among the stock markets of Bulgaria, Czech Republic, Estonia, Hungary, Poland, Romania, Russia, Serbia, Slovenia and Ukraine. The empirical analysis begins with the estimation of a regional market model, whose beta parameters depend on predetermined information...