Showing 1 - 10 of 1,498
find that there is a bidirectional, Granger-causal association between illiquidity and return dispersion in the U.S. stock …
Persistent link: https://www.econbiz.de/10010729229
This paper develops a reduced form three-factor model which includes a liquidity proxy of market conditions which is then used to provide implicit prices. The model prices are then compared with observed market prices of credit default swaps to determine if swap rates adequately reflect market...
Persistent link: https://www.econbiz.de/10009430118
This paper develops a reduced form three-factor model which includes a liquidity proxy of market conditions which is then used to provide implicit prices. The model prices are then compared with observed market prices of credit default swaps to determine if swap rates adequately reflect market...
Persistent link: https://www.econbiz.de/10005495784
The aim of the paper is to describe and compare the dynamics of linkages between stock markets during financial crises. We investigate similarities and differences between the patterns of changes in the conditional dependence structure during the 1997 Asian and 1998 Russian financial crises, and...
Persistent link: https://www.econbiz.de/10008755250
We consider the credit valuation adjustment (CVA) of credit default swap under an interacting intensities model. The default intensities of the protection seller and the reference entity are both influenced by an external shock event. The arrival of the shock event is a regime switching Poisson...
Persistent link: https://www.econbiz.de/10010866386
Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for...
Persistent link: https://www.econbiz.de/10010746302
using Pearson linear correlation and Kendall's tau. The use of Kendall's tau allows the implementation of copulas to …Purpose – What copulas are, their estimation, and use is illustrated using a geographical diversification example. To … parametric copulas, Gaussian, Frank, Clayton, and Gumbel, are used to estimate Kendall's tau. These four estimates of Kendall …
Persistent link: https://www.econbiz.de/10010797627
This paper analyses three Granger noncausality hypotheses within a conditionally Gaussian MS-VAR model. Noncausality in mean is based on Granger´s original concept for linear predictors by defining noncausality from the 1-step ahead forecast error variance for the conditional expectation....
Persistent link: https://www.econbiz.de/10005649093
period between 1987 and 2009 and the correlation structures in the respective periods are compared. It turns out that the …
Persistent link: https://www.econbiz.de/10008852567
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...
Persistent link: https://www.econbiz.de/10005826355