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A quantitative mirror on the Euribor market using implied probability density functions
Puigvert-Gutiérrez, Josep Maria; De Vincent-Humphreys, … - In: Eurasian economic review : a journal of the Eurasia … 2 (2012) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10010340001
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Modelling volatility during the current financial crisis : an empirical analysis of the US and the UK stock markets
Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International journal of trade and global markets 5 (2012) 3/4, pp. 171-194
Persistent link: https://www.econbiz.de/10009722142
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Financial markets, banks' cost of funding, and firms' decisions : lessons from two crises
Balduzzi, Pierluigi; Brancati, Emanuele; Schiantarelli, … - 2013
We test whether financial fluctuations affect firms' decisions, through their impact on banks' cost of funding. We exploit two shocks to Italian bank CDS spreads and equity valuations: the 2007-2009 financial crisis and the 2010-2012 sovereign debt crisis. Using newly available data linking over...
Persistent link: https://www.econbiz.de/10010229932
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Modelling the impact of global financial crisis on the Indian stock market through GARCH models
Mathur, Shreya; Chotia, Varun; Rao, N. V. Muralidhar - In: Asia-Pacific journal of management research and … 12 (2016) 1, pp. 11-22
Persistent link: https://www.econbiz.de/10011559376
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Cross-border sentiment : an empirical analysis on EU stock markets
Bai, Ye - In: Applied financial economics 24 (2014) 4/6, pp. 259-290
Persistent link: https://www.econbiz.de/10010399454
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Market volatility transmission and central banking : what happened during the subprime crisis?
Bensafta, Kamel Malik; Semedo, Gervasio - In: International economic journal 28 (2014) 4, pp. 559-588
Persistent link: https://www.econbiz.de/10010504200
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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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Booms and busts in asset prices : risk modeling, bubble detection, and the role of monetary policy
Beckers, Benjamin - 2017
Persistent link: https://www.econbiz.de/10012659432
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Running for the exit : distressed selling and endogenous correlation in financial markets
Cont, Rama; Wagalath, Lakshithe - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 718-741
Persistent link: https://www.econbiz.de/10010187675
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Econophysical bourse volatility : global evidence
Ghosh, Bikramaditya; Krishna Mysore Chidambareswaran - In: Journal of central banking theory and practice 9 (2020) 2, pp. 87-107
Financial Reynolds number (Re) has been proven to have the capacity to predict volatility, herd behaviour and nascent … embedded volatility, herd behaviour and nascent bubble. Overall the volatility distribution has been found to be Gaussian in … nature, as far as volatility, herd behaviour and nascent bubble are concerned. …
Persistent link: https://www.econbiz.de/10012305755