economic policy conditions in Europe. This study provides an important implication for investment and risk management in the …

implication for equity investment and risk management …

volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including … of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the …

transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as … important in the transmission of sovereign risk contagion, but that the importance of the bond market waned during the crisis … news shock, we can show that, during the crisis period, sovereign credit risk was not related to economic fundamentals but …

-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging … to a battery of candidate variables for determining meaningful systematic risk factors. Second, Markov switching … market conditions, on the other. Our evidence for market indices of euro-denominated bonds suggests that systematic risk …

and book to market asset classes over troughs. The US small cap premium is related to default risk, although recessions … per se do not on average impact on this premium. Default risk and the inflation risk differential between Canada and the …