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Simultaneous Stochastic Volatility TransmissionAcross American Equity Markets

Weber, Enzo - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

Information ows across international financial markets typically occur within hours, making volatility spillover appear … contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in … heteroscedasticity of the structural volatility innovations, and estimation takes place in an appropriately specified state space setup …

Persistent link: https://www.econbiz.de/10005860498

International CAPM with Regime Switching GARCH Parameters

Capiello, Lorenzo; Fearnley, Tom A. - 2000

This paper tests a conditional version of Adler and Dumas' (1983) International CAPM with regime switching GARCH parameters.

Persistent link: https://www.econbiz.de/10005843221

MODELING FINANCIAL CONTAGION USING MUTUALLY EXCITING JUMPPROCESSES

Aït-Sahalia, Yacine; Cacho-Diaz, Julio; J.A. Laeven, Roger - National Bureau of Economic Research <Cambridge, Mass.> - 2010

introduce a model for asset return dynamics with a driftcomponent, a volatility component and mutually exciting jumps known as …

Persistent link: https://www.econbiz.de/10005870356

Duration, trading volume and the price impact oftrades in an emerging futures market

Bowe, Michael; Hyde, Stuart; McFarlane, Lavern - Manchester Business School - 2007

This paper examines the price impact of trading intensity on an emerging futures market. Utilizing anovel volume-augmented duration model of price discovery, the intensity effect is decomposed intoliquidity and information components for the MexDer 28-day interest rate futures contract. We...

Persistent link: https://www.econbiz.de/10005870368

Are Credit Spreads and Interest Rates co-integrated? Empirical Analysis in the USD Corporate Bond Market

Pape, Ulrich; Schlecker, Matthias - ESCP-EAP European School of Management <Paris u.a.> - 2007

Structural models for pricing risky debt imply a negative relationship betweeninterest rates and credit spreads. In contrast, credit default swap pricing modelsassume independence between credit risk and the term structure of interest rates.So far, empirical studies have focused on first...

Persistent link: https://www.econbiz.de/10008939829

Market and Currency Risk Premia during Financialand Political Crises : An Asset Pricing Perspective

Loebb, Joachim - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This empirical study analyzes market and currency risk premia during ﬁnancial and political crises within the theoretical framework of the international asset pricing model of Adler and Dumas (1983). The econometric speciﬁcation extends the multivariate GARCH approach of De Santis and Gerard...

Persistent link: https://www.econbiz.de/10005858143

Contagion and interdependence among Central European economies : The impact of common external shocks

Wälti, Sébastien - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper is about contagion and interdependence among Central European economies. It investigates the extent to which country-specific shocks spread across these countries beyond the normal channels of interdependence, taking into account common external shocks. To model such shocks, we make...

Persistent link: https://www.econbiz.de/10005858999