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This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets …. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the … not been any significant impact of the Covid-19 pandemic on the degree of persistence of the European stock market indices …
Persistent link: https://www.econbiz.de/10012653308
This paper examines persistence, structural breaks and non-linearities in the case of five European stock market …
Persistent link: https://www.econbiz.de/10012024535
Persistent link: https://www.econbiz.de/10013478852
In this paper, we explore the interconnection and existing relationships between the Sovereign Credit Default Swaps (henceforth, CDS) and the stock markets of the main European countries. Thus, the goal of this paper is to test if the CDS premia can predict the stock market returns of the most...
Persistent link: https://www.econbiz.de/10011870707
This paper examines persistence, structural breaks and non-linearities in the case of five European stock market …
Persistent link: https://www.econbiz.de/10012866377
As part of the Next Generation EU (NGEU) program, the European Commission has pledged to issue up to EUR 250 billion of the NGEU bonds as green bonds, in order to confirm their commitment to sustainable finance and to support the transition towards a greener Europe. Thereby, the EU is not only...
Persistent link: https://www.econbiz.de/10012665508
Two suggestions are offered to address growing criticism of the ESG-based investing. First, socially responsible … investors need to use portfolio performance measure that is explicitly sensitive to the portfolio ESG value. Second, since the … corporate ESG ratings are not regulated and are vaguely defined, the ratings agencies should provide detailed information on how …
Persistent link: https://www.econbiz.de/10014351757
This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is very general, since it allows for fractional...
Persistent link: https://www.econbiz.de/10012123055
This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy … between 2006 and 2008. The persistence of the yield spreads against German government bonds has increased significantly after … positive excess kurtosis and GARCH-e ects when persistence increases. …
Persistent link: https://www.econbiz.de/10010239739
permanent effects. Persistence is highest in the case of Brussels, Amsterdam and London. The presence of negative trends in …
Persistent link: https://www.econbiz.de/10012240434