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Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets
Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International Journal of Trade and Global Markets 5 (2012) 3/4, pp. 171-194
The overarching aim of the present paper is to investigate the pattern of returns and volatility in the US and the UK …
Persistent link: https://www.econbiz.de/10010670368
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Modeling Aggregate Use of Fund Resources; Analytical Approaches and Medium-Term Projections
Ghosh, Atish R.; Zalduendo, Juan; Goretti, Manuela; … - International Monetary Fund (IMF) - 2007
This paper presents two approaches to modeling the use of IMF resources in order to gauge whether the recent decline in credit outstanding is a temporary or a permanent phenomenon. The two approaches-the time series behavior of credit outstanding and a two-stage program selection and access...
Persistent link: https://www.econbiz.de/10005825617
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Consistent Quantitative Operational Risk Measurement and Regulation; Challenges of Model Specification, Data Collection, and Loss Reporting
Jobst, Andreas - International Monetary Fund (IMF) - 2007
Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital...
Persistent link: https://www.econbiz.de/10005826656
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Regional Financial Integration in the Caribbean; Evidence From Financial and Macroeconomic Data
Kwon, Goohoon; Espinoza, Raphael A. - International Monetary Fund (IMF) - 2009
This paper assesses the extent of regional financial integration in the Caribbean Community (CARICOM) by analyzing equity prices in the region and rigidity of external financing constraints. The results are presented in a cross-regional perspective. The Caribbean stock markets are not as well...
Persistent link: https://www.econbiz.de/10008528700
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Is Foreign Debt Portfolio Management Efficient in Emerging Economies?
Hussein, Khaled - International Monetary Fund (IMF) - 2001
This paper develops a simple model of foreign debt portfolio management. The model suggests that, under mild conditions, the currency composition of a country's foreign debt portfolio is responsive to exchange rate movements. Empirical evidence is provided for a panel of 14 emerging economies in...
Persistent link: https://www.econbiz.de/10005599482
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Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle
Valente, Giorgio; Leon, H. L.; Sarno, Lucio - International Monetary Fund (IMF) - 2006
We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...
Persistent link: https://www.econbiz.de/10005604790
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Spillover effects between US and major European stock markets
Al-Zeaud, Hussein Ali - In: American Journal of Finance and Accounting 3 (2014) 2/3/4, pp. 172-184
market to New York, Pairs and Frankfurt stock markets. Within the European stock markets, there are unidirectional volatility … spillover effects from Frankfurt to Paris and from Paris to London. Volatility increases induced by bad news are transmitted … more strongly than volatility declines. …
Persistent link: https://www.econbiz.de/10010816696
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Volatility transmission and herding contagion during the global financial crisis
Abbes, Mouna Boujelbène - In: International Journal of Managerial and Financial Accounting 5 (2013) 2, pp. 138-161
the volatility of US stock market during the subprime crisis is significantly transmitted to Asian and European financial … markets. Moreover, UK and Swiss financial markets present an important role in emitting volatility to Asian markets. In …. All residuals showed enhanced volatility during the financial crisis period of mid 2007-2008. Moreover, the cross …
Persistent link: https://www.econbiz.de/10010754852
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Assessing Fiscal Sustainability Under Uncertainity
Barnhill, Theodore M.; Kopits, George - International Monetary Fund (IMF) - 2003
VaR approach confirms a significant risk of government financial failure stemming from the volatility and comovements of … vulnerability, the volatility of sovereign spreads and of oil prices remain major sources of risk for Ecuador's public sector. The …
Persistent link: https://www.econbiz.de/10005826365
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Subordinated Levy Processes and Applications to Crude Oil Options
Krichene, Noureddine - International Monetary Fund (IMF) - 2005
options pricing. Calibration to crude oil futures' options shows high volatility of oil futures prices, fat-tailed, and right … findings support the view that demand for futures contracts by investors could lead to excessively high price volatility. …
Persistent link: https://www.econbiz.de/10005605320