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Brexit and CDS spillovers across UK and Europe
Bouoiyour, Jamal; Selmi, Refk - In: European journal of comparative economics 16 (2019) 1, pp. 105-124
dynamics of CDS volatility spillover effects surrounding the UK's EU membership referendum commonly known as "Brexit". Using a … the underlined CDS. In particular, we find that UK, Italy and Spain are the "net volatility transmitters", while France … and Germany seem the "net volatility receivers". Our findings may help in formulating appropriate regulatory policies and …
Persistent link: https://www.econbiz.de/10012259768
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Equities, credits and volatilities : a multivariate analysis of the European market during the subprime crisis
Schreiber, Irene; Müller, Gernot; Klüppelberg, Claudia; … - In: International review of financial analysis 24 (2012), pp. 57-65
Persistent link: https://www.econbiz.de/10009688173
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Equity risk premium and investors preferences towards reward-to-risk from Europe, USA, and Asia
Couto, Gualter; Pimentel, Pedro; Cunha, Ana Maria - In: Multinational finance journal 24 (2020) 1/2, pp. 39-64
Persistent link: https://www.econbiz.de/10012590993
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Sudden changes in volatility in European stock markets
Guesmi, Khaled; Teulon, Frédéric; Ftiti, Zied - In: The journal of applied business research 30 (2014) 6, pp. 1567-1576
Persistent link: https://www.econbiz.de/10010470492
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What drives European football clubs' stock returns and volatility?
Gimet, Celine; Montchaud, Sandra - In: International journal of the economics of business 23 (2016) 3, pp. 351-390
Persistent link: https://www.econbiz.de/10011641012
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What happens to the relationship between EU allowances prices and stock market indices in Europe?
Jiménez-Rodríguez, Rebeca - In: Energy economics 81 (2019), pp. 13-24
Persistent link: https://www.econbiz.de/10012172620
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DTS (Duration Times Spread) for CDS : a new measure of spread sensitivity
Dor, Arik Ben; Polbennikov, Simon; Rosten, Jeremy - In: The journal of fixed income 16 (2007) 4, pp. 32-44
Persistent link: https://www.econbiz.de/10003457017
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Electricity prices : a nonparametric approach
Pirino, Davide; Renò, Roberto - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 285-299
Persistent link: https://www.econbiz.de/10008860393
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On the construction of common size, value and momentum factors in international stock markets : a guide with applications
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011
A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from...
Persistent link: https://www.econbiz.de/10008798062
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Econometric analysis of international financial markets
Dimpfl, Thomas - 2010
Persistent link: https://www.econbiz.de/10008856799