We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...

In this article, we study the relevance of green finance from a portfolio and a network perspective. The estimates are derived from a regularized graphical model, which provides robust results with respect to two important issues. First, we refer to the curse of dimensionality, as we focus on a...

This paper examines the relationship between systemic risk measures across 546 financial institutions in major petroleum-based economies and oil movements. In this paper, we follow two steps. In the first step, we estimate the delta conditional VaR (CoVaR) for the financial institutions and...

This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔCoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and...

Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up to 2019, places new attention on ES, but unlike VaR,...

We build a commercial credit network, identify the most central economic sectors in terms of commercial debt, and provide a more complete idea of total indebtedness and financial interlinks between firms and banks in Uruguay. "Commerce," "manufacturing," and "transportation, storage, and...

It is argued that lending where the overwhelming criterion is the collateral rather than the repayment capability of the project and the borrower is highly likely to be unproductive and will inevitably lead to a transfer of wealth. If this is done on a systematic and massive scale as was the...

The global financial and economic crisis marks an important turning point for finance and the Asian growth model. Regional consensus is now supporting economic rebalancing away from the dominant focus on exports to developed markets and towards more a more balanced economic structure supported...