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A Cross-Country Analysis of Herd Behavior in Europe
Asma, Mobarek - 2014
This paper examines country specific herding behavior in European liquid constituent indices for the period of 2001 …-2012. While we report insignificant results for the whole period, we document significant herding behavior during crises and … asymmetric market conditions. Particularly, herding effect is pronounced in most continental countries during the global …
Persistent link: https://www.econbiz.de/10013052599
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Empirical Assessment of Alternative Structural Methods for Identifying Cyclical Systemic Risk in Europe
Galán, Jorge E. - 2018
The credit-to-GDP gap, as proposed by the Basel methodology, has become the reference measure for the activation of the Countercyclical Capital Buffer (CCyB) due to its simplicity and good predictive power for future systemic crises. However, it presents several shortcomings that could lead to...
Persistent link: https://www.econbiz.de/10012913375
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Modeling Intraday Volatility in European Bond Markets : A Data Filtering Application
Zhang, Hanyu - 2019
This paper studies the intraday volatility of European government bonds under the framework of the multiplicative component GARCH model (Engle and Sokalska, 2012). Intraday return volatility is specified as the product of daily volatility, intraday seasonality, and a unit GARCH process. The...
Persistent link: https://www.econbiz.de/10012900298
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Intra-Day Realized Volatility for European and USA Stock Indices
Degiannakis, Stavros Antonios - 2019
, the dynamic behavior of correlation between realized volatilities is investigated. The correlation among realized … volatilities is positive and extremely high, although for some periods it decreases dramatically. The correlation of volatilities … within USA (or Europe) is much higher than the correlation of volatilities across USA and Europe. Moreover, we provide …
Persistent link: https://www.econbiz.de/10012897936
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Periodic dynamic conditional correlations between stock markets in Europe and the US
Savva, Christos S. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003386052
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Macroeconomic Fundamentals of the Long-Run Time Varying Correlations between Turkish and European Stock Markets
Güngör, Arifenur; Güngör, Mahmut Sami - 2023
This paper examines macro-financial proximity underlying dynamics of co-movement between emerging and developed countries’ stock markets over the last decade. We initially decompose dynamic conditional correlations between log-returns of daily stock market indexes into short-run (daily) and...
Persistent link: https://www.econbiz.de/10014258232
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Dependence between Croatian and European Stock Markets – A Copula GARCH Approach
Dajčman, Silvo - 2013
The objective of this paper is to analyze dependence structure between the returns of Croatian and five European stock markets (Austrian, French, German, Italian, and the U.K.'s). We propose a copula GARCH approach, where the return series are modeled as univariate GARCH processes and the...
Persistent link: https://www.econbiz.de/10013071482
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Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe : A Network Approach
Gross, Christian - 2019
We use a factor model and elastic net shrinkage to model a high-dimensional network of European CDS spreads. Our empirical approach allows us to assess the joint transmission of bank and sovereign risk to the non-financial corporate sector. Our findings identify a sectoral clustering in the CDS...
Persistent link: https://www.econbiz.de/10012899565
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Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe : A Network Approach
Gross, Christian - 2019
We use a factor model and elastic net shrinkage to model a high-dimensional network of European CDS spreads. Our empirical approach allows us to assess the joint transmission of bank and sovereign risk to the non-financial corporate sector. Our findings identify a sectoral clustering in the CDS...
Persistent link: https://www.econbiz.de/10012867909
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Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe : A Network Approach
Gross, Christian; Siklos, Pierre L. - 2021
We use a factor model and elastic net shrinkage to model a high-dimensional network of European CDS spreads. Our empirical approach allows us to assess the joint transmission of bank and sovereign risk to the non-financial corporate sector. Our findings identify a sectoral clustering in the CDS...
Persistent link: https://www.econbiz.de/10013248986