This paper applies novel sentiment analyses to Reuters news to study stock and CDS traders' differential interpretations of financial news. We construct sentiment measures to identify which news content influences investors' behavior and create dynamic word lists that reflect the divergent...

The link between capital controls and stock market volatility is examined using frequency domain techniques. Conventional analyses of the second moments can produce spurious results if the high-frequency volatility is reduced (increased) while the overall volatility is increased (reduced)

We model the complex global dependencies in international financial markets using spatial techniques. Our methodology allows us to go beyond conventional correlation analyses and volatility-spillover models confined to studying pairwise relationships, and improves the accuracy of return...