Showing 1 - 10 of 54
As U.S. Treasury securities carry the full faith and credit of the U.S. government, they are free of default risk. Thus …, their yields are risk-free rates of return, which allows the most recently issued U.S. Treasury securities to be used as a …
Persistent link: https://www.econbiz.de/10005827745
This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …
Persistent link: https://www.econbiz.de/10009002352
This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …
Persistent link: https://www.econbiz.de/10009002679
This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …
Persistent link: https://www.econbiz.de/10009143386
This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to … former has an asymmetric effect on risk from positive and negative shocks of equal magnitude, while the latter has no … the issues related to risk and leverage effects, are also applicable to international tourism flows. …
Persistent link: https://www.econbiz.de/10009222412
This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to … former has an asymmetric effect on risk from positive and negative shocks of equal magnitude, while the latter has no … the issues related to risk and leverage effects, are also applicable to international tourism flows. …
Persistent link: https://www.econbiz.de/10009291888
The paper models the dynamic conditional correlations in emerging stock, bond and foreign exchange markets using the DCC model of Engle (2002) and the GARCC model of McAleer et al. (2008). The highly restrictive DCC model suggests that the conditional correlations of the overall returns are...
Persistent link: https://www.econbiz.de/10010731818
This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to … former has an asymmetric effect on risk from positive and negative shocks of equal magnitude, while the latter has no … the issues related to risk and leverage effects, are also applicable to international tourism flows. …
Persistent link: https://www.econbiz.de/10010732598
This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to … former has an asymmetric effect on risk from positive and negative shocks of equal magnitude, while the latter has no … the issues related to risk and leverage effects, are also applicable to international tourism flows. …
Persistent link: https://www.econbiz.de/10010732628
This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …
Persistent link: https://www.econbiz.de/10010734035