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International capital markets structure, preferences and puzzles : the US-China case
Caporale, Guglielmo Maria; Donadelli, Michael; Varani, … - 2014
Persistent link: https://www.econbiz.de/10010241355
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International capital markets structure, preferences and puzzles : the US-China case
Caporale, Guglielmo Maria; Donadelli, Michael; Varani, … - 2014
correlation (consumption correlation puzzle), the low risk-free rate (risk-free rate puzzle) and the high equity risk premium …
Persistent link: https://www.econbiz.de/10010248182
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International capital markets structure, preferences and puzzles : the US-China case
Caporale, Guglielmo Maria; Donadelli, Michael; Varani, … - 2014
(consumption correlation puzzle), the low risk-free rate (risk-free rate puzzle) and the high equity risk premium (equity premium …
Persistent link: https://www.econbiz.de/10010250047
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International capital markets structure, preferences and puzzles : a “US-China World”
Caporale, Guglielmo Maria; Donadelli, Michael; Varani, … - In: Journal of international financial markets, … 36 (2015), pp. 85-99
Persistent link: https://www.econbiz.de/10011474910
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Brexit and Uncertainty in Financial Markets
Caporale, Guglielmo Maria - 2018
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British pound's implied volatilities (IVs) vis-à-vis the main...
Persistent link: https://www.econbiz.de/10012928869
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Brexit and uncertainty in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
Persistent link: https://www.econbiz.de/10011995622
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Networks in risk spillovers : a multivariate GARCH perspective
Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo - 2018
We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on … isolate risk channels and we discuss how to compute target exposure able to reduce system variance. An empirical analysis on … Euro-area cross-country holdings shows that Italy and Ireland are key players in spreading risk, France and Portugal are …
Persistent link: https://www.econbiz.de/10011892696
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Networks in risk spillovers : a multivariate GARCH perspective
Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo - 2016
Persistent link: https://www.econbiz.de/10011629466
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Brexit and uncertainty in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main...
Persistent link: https://www.econbiz.de/10011789327
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Brexit and uncertainty in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main...
Persistent link: https://www.econbiz.de/10011793915