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Three essays on financial markets and institutions
Souto, Marcos Rietti - 2005
Persistent link: https://www.econbiz.de/10003904272
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The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies
Tian, Maoxi; El Khoury, Rim; Alshater, Muneer Maher - In: Journal of international financial markets, … 82 (2023), pp. 1-28
Persistent link: https://www.econbiz.de/10014246021
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Exchange rate shocks in multicurrency interbank markets
Siklos, Pierre L.; Stefan, Martin - 2021
Persistent link: https://www.econbiz.de/10012586195
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The Linkage between Sovereign Defaults and Exchange Rate Shocks in the Eurozone : A Measure for Systemic Risk
Omachel, Marcel - 2015
We propose a simple method for measuring systemic sovereign credit risk in the Eurozone by linking sovereign defaults to currency shocks. The framework rests on the assumption that systemic sovereign credit risk is high when sovereign defaults induce large shocks to the Euro currency market. We...
Persistent link: https://www.econbiz.de/10013032120
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Exchange rate shocks in multicurrency interbank markets
Siklos, Pierre L.; Stefan, Martin - In: Journal of financial stability 55 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10013362238
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Impact of the ban on uncovered SCDS trade on the interdependencies between the CDS market and other sectors of financial markets : the case of safe and developed versus risky and d...
Kliber, Agata - In: Comparative economic research : Central and Eastern Europe 19 (2016) 1, pp. 75-97
Persistent link: https://www.econbiz.de/10011598086
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Impact of the ban on uncovered sCDS trade on the interdependencies between the CDS market and other sectors of financial markets : the case of safe and developed versus risky and d...
Kliber, Agata - In: Comparative economic research : Central and Eastern Europe 19 (2016) 1, pp. 77-99
The aim of the article is to verify the impact of the ban on uncovered sCDS trade in Europe on the interdependencies between the sCDS market and other sectors of financial markets. We analyse two European markets: the safe and developed Swedish market, and the risky and developing Hungarian one....
Persistent link: https://www.econbiz.de/10011869394
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Modeling exchange rate volatility in CEEC countries : impact of global financial and European sovereign debt crisis
Miletić, Siniša - In: Megatrend revija 12 (2015) 1, pp. 105-121
Persistent link: https://www.econbiz.de/10011308580
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Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis : AGARCH-M approach
Mouna, Aloui; Anis, Jarboui - In: Cogent economics & finance 4 (2016) 1, pp. 1-16
-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …
Persistent link: https://www.econbiz.de/10011450341
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Exchange rate co-movements, hedging and volatility spillovers in new EU forex markets
Kočenda, Evžen; Moravcová, Michala - 2017
We analyze time-varying exchange rate co-movements and volatility spillovers between the Czech koruna, the Polish zloty … volatilities are due to each currency's own history. However, during the distress periods volatility spillovers among currencies …
Persistent link: https://www.econbiz.de/10011763803