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Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries
Awartani, Basel; Maghyereh, Aktham Issa - In: Energy Economics 36 (2013) C, pp. 28-42
the dynamic spillover of return and volatility between oil and equities in the Gulf Cooperation Council Countries during … the period 2004 to 2012. Our results indicate that return and volatility transmissions are bi-directional, albeit …
Persistent link: https://www.econbiz.de/10010616851
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Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market
Idier, Julien; Avouyi-Dovi, Sanvi - Université Paris-Dauphine (Paris IX) - 2010
We examine the effects of collateral provision as a potential channel between funding liquidity tensions and the scarcity of market liquidity. This channel consists in transferring the credit risk associated with refinancing operations between financial institutions to market participants that...
Persistent link: https://www.econbiz.de/10010861364
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Modelling and forecasting the volatility of the portuguese stock index PSI-20
Caiado, Jorge - Volkswirtschaftliche Fakultät, … - 2004
The volatility clustering often seen in financial data has increased the interest of researchers in applying good … models to measure and forecast stock returns. This paper aims to model the volatility for daily and weekly returns of the … find support that there are significant asymmetric shocks to volatility in the daily stock returns, but not in the weekly …
Persistent link: https://www.econbiz.de/10005790340
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The impact of unconventional monetary policy on the market for collateral: The case of the French bond market
Avouyi-Dovi, Sanvi; Idier, Julien - In: Journal of Banking & Finance 36 (2012) 2, pp. 428-438
financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French …; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia …
Persistent link: https://www.econbiz.de/10010574828
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The impact of unconventional monetary policy on the market for collateral: The case of the French bond market
Avouyi-Dovi, Sanvi; Idier, Julien - Université Paris-Dauphine (Paris IX) - 2012
financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French …; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia …
Persistent link: https://www.econbiz.de/10010706618
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Risk Management of Hedge Funds Using Fuzzy Neural- and Genetic Algorithms
Glaffig, Clemens - 2004
The article investigates the use of adaptive learning algorithms in constructing dynamic portfolios replicating the return characteristics of a given hedge fund. The emphasis is on out of sample conditional predictive capabilites as necessary to serve as a valuable risk management tool, rather...
Persistent link: https://www.econbiz.de/10012737991
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Essays on Credit Markets and Banking
Holmberg, Ulf - Institutionen för Nationalekonomi, Umeå Universitet - 2012
This thesis consists of four self-contained papers related to banking, credit markets and financial stability. Paper [I] presents a credit market model and finds, using an agent based modeling approach, that credit crunches have a tendency to occur; even when credit markets are almost entirely...
Persistent link: https://www.econbiz.de/10010538873
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Using sentiment surveys to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647399
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The case for higher frequency inflation expectations
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2011
I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...
Persistent link: https://www.econbiz.de/10009650037
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A Latent Factor Model for Ordinal Data to Measure Multivariate Predictive Ability of Financial Market Movements
Huber, Philippe - 2005
In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...
Persistent link: https://www.econbiz.de/10012735896