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The financial contagion effects of the subprime crisis on BRIC countries
Hmida, Mourad - In: International Journal of Managerial and Financial Accounting 6 (2014) 3, pp. 175-188
the test of adjusted correlation coefficients between markets and propose a new procedure that involves testing the non … phenomenon between the financial markets of the USA, Brazil, Russia, India and China during the current crisis. …
Persistent link: https://www.econbiz.de/10010944841
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Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen
Wied, Dominik; Arnold, Matthias; Bissantz, Nicolai; … - In: AStA Wirtschafts- und Sozialstatistisches Archiv 6 (2013) 3, pp. 87-103
We analyze a new fluctuation test for constant correlation with respect to its properties and possible applications in …
Persistent link: https://www.econbiz.de/10010994210
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The comovements of the short interest rates in central and east european countries
Scheicher, Martin - In: Prague Economic Papers 2000 (2000) 3
This paper analyses the short rates of emerging markets in Central and Eastern Europe. We first summarize the institutional framework of money and bond markets. In the empirical section we estimate both univariate and multivariate models. We collect the statistical behavior and discuss the...
Persistent link: https://www.econbiz.de/10005051794
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An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
Christensen, Jens H. E.; Diebold, Francis X.; … - Department of Economics, University of Pennsylvania - 2008
The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed,...
Persistent link: https://www.econbiz.de/10005150215
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Modelling Sovereign Bond Yield Curves of the US, Japan and Germany
Tam, Chi-sang; Yu, Ip-wing - Hong Kong Monetary Authority - 2007
The movement of sovereign yields is important for both investment and risk management. In this paper, we apply a method that was first developed by Diebold et al (2006b) to model the sovereign bond yield curves of the US, Japan and Germany. By including observable macroeconomic variables and the...
Persistent link: https://www.econbiz.de/10005690172
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Phenomenology of the interest curve
BOUCHAUD, Jean-Philippe; CONT, Rama; KAROUI, Nicole EL; … - EconWPA - 1997
This paper contains a statistical description of the whole U.S. forward rate curve (FRC), based on data from the period 1990-1996. We find that the average deviation of the FRC from the spot rate grows as the square- root of the maturity, with a proportionality constant which is comparable to...
Persistent link: https://www.econbiz.de/10005413172
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Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach
Fergusson, Kevin; Platen, Eckhard - Finance Discipline Group, Business School - 2014
Market models which re ect stylised properties of the interest rate term structure are widely used for modelling and pricing interest rate derivatives. We consider a market model involving the short rate and a diversied global stock index. We illustrate the stylised properties of the interest...
Persistent link: https://www.econbiz.de/10011163382
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On the Estimation of Term Structure Models and An Application to the United States
International Monetary Fund (IMF); International … - 2010
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...
Persistent link: https://www.econbiz.de/10008727797
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PKB a upadłość
Staszkiewicz, Piotr W. - Volkswirtschaftliche Fakultät, … - 2013
The correlation analysis was conducted on dynamic of GDP and company failure rate for Poland, Europe and USA for the … period 2003-2011; it was found a negative correlation. An analysis was undertaken for the relation between the rate of … significant correlation was observed. An alternative significant variable was pointed out for a linear regression model. Results …
Persistent link: https://www.econbiz.de/10011259056
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Contemporary International and Domestic Banking Developments and the Emerging Challenges
V, Leeladhar - eSocialSciences - 2008
A broad overview, from the Indian perspective, of the factors underlying the credit market crisis in the west, the implications of the crisis for the financial sector, lessons learnt from it, the various suggestions made at different fora for pre-empting the recurrence of such events, the Indian...
Persistent link: https://www.econbiz.de/10005487642