We employ an asymmetric dynamic conditional correlation model to investigate the time-varying integration of the London Interbank Offered Rate (LIBOR) rates for three major European currencies -the euro (EUR), Swiss franc (CHF), and British pound (GBP). We assess the impacts of the global...

This study assesses the dependence structure of insurance sector credit default swap indices, using a copula-GARCH approach. We use daily data of the US, EU, and UK insurance sectors, covering the period from January 2004 to June 2013. We find substantial increases in dependence during the...

This article employs the asymmetric dynamic conditional correlation (DCC) model to assess impacts of the recent sovereign debt crisis on the time-varying correlations of five European financial institutions holding large amounts of Greek sovereign bonds (National Bank of Greece, BNP Paribas,...

This article examines the dynamic relationship between two key European short-term interest rates, the Eonia rate (EON) and the 3-month Euribor rate (ER3). Applying a threshold cointegration method developed by Hansen and Seo (2002) to monthly data over the period 1999 to 2011, we confirm that...

This study explores the time-varying correlations among the bank industry Credit Default Swap (CDS) indices for the EU, the UK and the US, using the asymmetric Dynamic Conditional Correlation (DCC) model developed by Cappiello <italic>et al</italic>. (2006). The main findings of the study include: (i) The...

Using the asymmetric dynamic conditional correlation (A-DCC) model developed by Cappiello et al. (2006), this paper empirically analyzes the conditional correlation between treasury and swap markets from February 9, 2006 to May 31, 2011, and makes two key contributions. First, the dynamics of...

This paper adopts the robust cross-correlation function methodology developed by Hong (J Econom 103:183–224, <CitationRef CitationID="CR14">2001</CitationRef>) in order to test for volatility and mean spillovers between Greek long-term government bond yields and the banking sector stock returns of four Southern European countries, namely...</citationref>

This paper adopts a multivariate asymmetric dynamic conditional correlation GARCH model to examine the interdependence of US dollar (USD) exchange rates expressed in euro (EUR), British pound (GBP), and Swiss franc (CHF). The effect of Europe's recent financial turmoil on these dynamic...

By employing the robust cross-correlation function approach proposed by Hong (2001), and conducting pre-tests for structural breaks in the variances as well as removing the causality-in-mean effects in the causality-in-variance tests, we investigate volatility and mean transmissions between the...

This article empirically assesses causality-in-variance and causality-in-mean between the Eurozone banking sector Credit Default Swap (CDS) index and the Greek sovereign CDS spread. We employ the Cross-Correlation Function (CCF) approach developed by Hong (2001) to daily data from January 2008...