The first three factors resulting from a principal components analysis of term structure data are in the literature typically interpreted as driving the level, slope and curvature of the term structure. Using slight generalisations of theorems from total positivity, we present sufficient...

The article examines causal relationships between sovereign credit default swaps (CDS) prices for the BRICS and most important EU economies (Germany, France, the UK, Italy, Spain) during the European debt crisis. The cross-correlation function (CCF) approach used in the research distinguishes...

The article examines causal relationships between sovereign credit default swaps (CDS) prices for the BRICS and most important EU economies (Germany, France, the UK, Italy, Spain) during the European debt crisis. The cross-correlation function (CCF) approach that distinguishes between...

In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...

Electricity retailers face increasing uncertainty due to the ongoing expansion of unpredictable, distributed generation in the residential sector. We analyze how increasing levels of households' solar PV self-generation affect the short-term decisionmaking and associated risk exposure of...

This paper offers a new and easy-to-implement projection-based approach to the identification of integrated volatility under the contamination from market microstructure noises. In stead of the typical two stage bias correction or optimal sampling procedure, we demonstrate that a precise...

Theoretical models of contagion and spillovers allow for asset-specific shocks that can be directly transmitted from one asset to another, as well as indirectly transmitted across uncorrelated assets through some intermediary mechanism. Standard multivariate GARCH models, however, provide...

Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...

Given that changes in oil prices influence the observable factors in GCC economies, this paper shows unobservable speculative factors that drive short-term stock market returns in Saudi and Bahrain markets.1 For other GCC markets, such as Dubai, Abu-Dhabi, and Muscat, oil price uncertainty and...

An impulse response function is derived for a vector autogressive model with a multivariate GARCH-in-Mean process. The multivariate GARCH volatility speci cation is based on Tsiaplias and Chua (2009) and accommodates both direct and indirect volatility spillovers. The impulse response function...