Narrow search
Showing 1 - 10 of 2,345
Cover Image
The hedging effectiveness of gold against US stocks in a post-financial crisis era
Shrydeh, Najib; Shahateet, Mohammed Issa; Mohammad, Suleiman - In: Cogent economics & finance 7 (2019) 1, pp. 1-23
and other market variables. To test the validity of this conception, this study applies a VAR-ADCC-BVGARCH model for 2 … spot prices and US equity prices following the 2007 Global Financial Crisis. It also aims at estimating hedging …,870 daily observations of US financial market during 2007-2017. Findings-The results suggest that the hedging effectiveness of …
Persistent link: https://www.econbiz.de/10014233046
Cover Image
Exchange rate co-movements, hedging and volatility spillovers in new EU forex markets
Kočenda, Evžen; Moravcová, Michala - 2017
increase but hedging costs rise as well. Based on the spillover index we document that during calm periods most of the …
Persistent link: https://www.econbiz.de/10011763803
Cover Image
Contagion and Spillovers: New Insights from the Crisis
Backé, Peter; Feldkircher, Martin; Gnan, Ernest; … - 2010
On February 12, 2010, SUERF, the Oesterreichische Nationalbank and the Bankwissenschaftliche Gesellschaft continued their established tradition of jointly organised conferences. As evidenced also by the 115 conference participants, this year's subject of "Contagion and Spillovers – New...
Persistent link: https://www.econbiz.de/10011689946
Cover Image
International Propagation of the Credit Crisis
Brealey, Richard A. - 2012
structural variables we test whether the relative incidence of the crisis was better explained by crisis models or by the VaR …
Persistent link: https://www.econbiz.de/10013115487
Cover Image
International Propagation of the Credit Crisis
Brealey, Richard A. - 2018
structural variables we test whether the relative incidence of the crisis was better explained by crisis models or by the VaR …
Persistent link: https://www.econbiz.de/10012940271
Cover Image
Systemic Risk in Financial Networks : A Survey
Jackson, Matthew O.; Pernoud, Agathe - 2021
We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g., defaults, correlated portfolios and firesales), and perceptions...
Persistent link: https://www.econbiz.de/10013237161
Cover Image
Credit Freezes, Equilibrium Multiplicity, and Optimal Bailouts in Financial Networks
Jackson, Matthew O.; Pernoud, Agathe - 2021
We analyze how interdependencies in financial networks can lead to self-fulfilling insolvencies and multiple possible equilibrium outcomes. We show that multiplicity arises if and only if there exists a certain type of dependency cycle in the network, and characterize banks' solvency in any...
Persistent link: https://www.econbiz.de/10013247146
Cover Image
Contagion and spillovers : new insights from the crisis : a joint publication with the Austrian Society for Bank Research
Backé, Peter (ed.); Gnan, Ernest (ed.);  … - Contagion and Spillovers – New Insights from the …; … - 2010
On February 12, 2010, SUERF, the Oesterreichische Nationalbank and the Bankwissenschaftliche Gesellschaft continued their established tradition of jointly organised conferences. As evidenced also by the 115 conference participants, this year's subject of "Contagion and Spillovers – New...
Persistent link: https://www.econbiz.de/10011706561
Cover Image
Contagion and spillovers : new insights from the crisis
Backé, Peter (contributor); Nowotny, Ewald (contributor) - 2010
Persistent link: https://www.econbiz.de/10008859808
Cover Image
Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises
Caporin, Massimiliano - 2013
This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging … is hedged. Hedging strategies of currency risk, using exchange rates futures and driven by several multivariate GARCH … decrease in hedging rations compared to naïve hedging strategies based on linear regressions or variance smoothing …
Persistent link: https://www.econbiz.de/10013074792