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Extreme Downside Risk and Financial Crises
Harris, Richard D. F. - 2015
We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return relationship identified by Bali, Demirtas, and...
Persistent link: https://www.econbiz.de/10013015516
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10010407524
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Are Islamic Equity Markets 'Safe Havens'? Exploring the Contagion Effects between Metal Future Markets and Malaysian Islamic Bonds Using DCC-FIGARCH During the Recent Global Financ...
Tsiaras, Konstantinos - 2022
Islāmic bonds. We apply twelve six variate dynamic conditional correlation (DCC) FIGARCH models in order to capture potential …
Persistent link: https://www.econbiz.de/10013298571
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Volatility Risk and Stock Return Predictability on Global Financial Crises
Kongsilp, Worawuth - 2016
This paper investigates the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Using a broad sample of stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE)...
Persistent link: https://www.econbiz.de/10012999962
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Mortgage-related bank penalties and systemic risk among U.S. banks
Brož, Václav; Kočenda, Evžen - 2019
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers to draw conclusions about system-wide risk transmission with short-, medium-, and long-term...
Persistent link: https://www.econbiz.de/10012061369
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Correlations between oil and stock markets : a wavelet-based approach
Martín-Barragán, Belén; Ramos, Sofia B.; Veiga, Helena - In: Economic modelling 50 (2015), pp. 212-227
Persistent link: https://www.econbiz.de/10011440530
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International evidence on market linkages after the 2008 stock market crash
Meriç, Gülser; Lentz, Christine; Schmeltz, Wayne; … - In: The international journal of business and finance … 6 (2012) 4, pp. 45-57
Persistent link: https://www.econbiz.de/10009633850
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Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)
Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25
, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including …
Persistent link: https://www.econbiz.de/10012486245
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Analysis of financial contagion in influential African stock markets
Aderajo, Oluwatosin Mary; Olaniran, Oladotun Daniel - In: Future Business Journal 7 (2021), pp. 1-9
assessment of the dynamic correlation analysis of financial contagion with evidence from (5) African countries (South African … conditional correlation multivariate GARCH model to ascertain the contagious effect of the US to the selected African markets. By … analyzing the correlation coefficient series, three phases of the crisis periods were identified {pre-crisis (2004-2007); crisis …
Persistent link: https://www.econbiz.de/10012493750
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Does extreme correlation matter in global equity asset allocation?
Solnik, Bruno; Watewei, Thaisiri - In: Journal of investment management : JOIM 17 (2019) 1, pp. 4-26
Persistent link: https://www.econbiz.de/10012254254