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The impact of the financial crisis on transatlantic information flows : an intraday analysis
Dimpfl, Thomas; Peter, Franziska Julia - 2014
entropy to allow for a flexible and model-free empirical assessment of linear as well as non-linear market dependencies …
Persistent link: https://www.econbiz.de/10010240602
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Sovereign contagion in Europe : evidence from the CDS market
Manasse, Paolo; Zavalloni, Luca - 2013
the empirical evidence on European sovereigns CDS spreads and estimate an econometric model where a crucial role is played … by time varying parameters. We model CDS spread changes at country level as reflecting three different factors: a Global …
Persistent link: https://www.econbiz.de/10011731038
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A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios Before and After the Global Financial Crisis
Silvapulle, Param - 2012
This paper investigates a stock-bond portfolio s tail risks such as value-at-risk (VaR) and expected shortfall (ES) and the optimum asset allocation, and the way in which these measures have been a¤ected by the recent global financial crisis (GFC). The semiparametric method is used to estimate...
Persistent link: https://www.econbiz.de/10013115773
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A New Measure of Vector Dependence, with an Application to Financial Contagion
Medovikov, Ivan - 2015
We propose a nonparametric measure of association between any number of random vectors that is based on the empirical copula process. The measure is insensitive to the dependence of components within vectors and only captures association between vectors as a whole. We calculate approximate...
Persistent link: https://www.econbiz.de/10013026392
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Tail event driven networks of SIFIs
Chen, Cathy Yi-Hsuan; Härdle, Wolfgang; Okhrin, Yarema - 2017
The interdependence, dynamics and riskiness of financial institutions are the key features frequently tackled in financial econometrics. We propose a Tail Event driven Network Quantile Regression (TENQR) model which addresses these three aspects. More precisely, our framework captures the risk...
Persistent link: https://www.econbiz.de/10011598923
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Financial crises and information transfer : an empirical analysis of the lead-lag relationship between equity and CDS iTraxx Indices
Ehlers, Stefan; Gürtler, Marc; Olboeter, Sven - 2010
This study examines the lead-lag-relationship between European equity and CDS markets in the context of the financial … crisis. Previous research identified the stock market to lead the CDS market in an ordinary economic environment. Against the … as well as on a weekly basis. Hence, we conclude that information transfer from stock to CDS markets widens during the …
Persistent link: https://www.econbiz.de/10009487609
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The multivariate option iPoD framework : assessing systemic financial risk
Matros, Philipp; Vilsmeier, Johannes - 2014
by combining the entropy approach, dynamic copulas and rank correlations. Our density estimates yield information about …
Persistent link: https://www.econbiz.de/10010405480
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The multivariate option iPoD framework : assessing systemic financial risk
Matros, Philipp; Vilsmeier, Johannes - 2013
by combining the entropy approach, dynamic copulas and rank correlations. Our density estimates exhibit information about …
Persistent link: https://www.econbiz.de/10010193341
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Global Financial Crisis and Price Discovery between Credit Default Swaps Premia and Bond Yield Spreads
Klenina, Ekaterina - 2017
This paper examines the relationship between CDS and bond markets in the context of the financial crisis by employing …-lag relation is found between the markets, in which changes in CDS premia consistently forecast changes in bond spreads. Moreover …
Persistent link: https://www.econbiz.de/10012949170
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Financial Crises, Price Discovery, and Information Transmission : A High-Frequency Perspective
Füss, Roland - 2017
This paper examines the price discovery processes before and during the 2007-09 subprime and financial crisis, as well as the subsequent European sovereign crisis, for the stock, bond, and U.S. dollar/euro FX markets in the U.S. and Germany in a high-frequency setting. Based on five-second...
Persistent link: https://www.econbiz.de/10012975585