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Modelling Returns and Volatilities During Financial Crises : A Time Varying Coefficient Approach

Karanasos, Menelaos - 2014

decades in the mean and volatility dynamics, including the underlying volatility persistence and volatility spillovers … existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and …

Persistent link: https://www.econbiz.de/10013056335

Volatility Transmission Across Equity Markets : Did the Relationships Hold During the Global Financial Crisis?

Asaturov, Konstantin - 2014

Previous research has proven that large financial markets can be prime determinants of volatility in smaller markets … in transmitting financial volatility. Utilizing bivariate DCC-GARCH modeling, we estimate volatility spillover effects … results show that the US market (S&P500 index) is the main volatility transmitter worldwide, whereas the UK, German and French …

Persistent link: https://www.econbiz.de/10013058952

Financial Contagion and Volatility Spillover : an exploration into Bitcoin Future and FOREX Future Markets

Tsiaras, Konstantinos - 2021

regarding the one sixvariate model, showing potential volatility transmission channels among the future markets. Findings have …

Persistent link: https://www.econbiz.de/10013228878

Time-frequency analysis of financial stress and global commodities prices : insights from wavelet-based approaches

Armah, Mohammed; Amewu, Godfred; Bossman, Ahmed - In: Cogent economics & finance 10 (2022) 1, pp. 1-25

We examine the time-frequency lead-lag relationships and the degree of integration between the US financial stress index and global commodity prices (i.e., oil, gold, silver, and cocoa) with data covering over 47 decades (January 1975 to December 2021). For this purpose, we resort to the bi- and...

Persistent link: https://www.econbiz.de/10013389437

Information Spillover of Bailouts

Kim, Hugh Hoikwang - 2018

This paper investigates the information spillover effect of government bailouts. Analyzing money market funds' dynamic enrollment status in the U.S. Treasury Temporary Guarantee Program in 2008, this paper finds that enrolled funds had overall positive fund flows, implying that the stability...

Persistent link: https://www.econbiz.de/10012938383

Liquidity Risk and Accounting Information

Sadka, Ronnie - 2011

This paper highlights the different avenues through which stock liquidity can potentially transcend into accounting research. Recently, Lang and Maffett show that transparency reduces firm-level liquidity uncertainty, while Ng shows that increased information quality can reduce a firm's exposure...

Persistent link: https://www.econbiz.de/10013121565

Interbank Offered Rate : Effects of the Financial Crisis on the Information Content of the Fixing

Chailloux, Alexandre - 2010

With the onset of the financial turmoil in August 2007, pricing references on the money market interest rates have been shocked. The segment of unsecured deposit transactions, which represent the cornerstone of capital markets, and is used as basis for the setting of money market benchmark...

Persistent link: https://www.econbiz.de/10013141324

Testing for stock market contagion : a quantile regression approach

Park, Sungyong; Wang, Wendun; Huang, Naijing - 2015 - This version: March 25, 2015

Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile contagion test allows us to investigate the stock...

Persistent link: https://www.econbiz.de/10010504111

Financial Crises and the Dynamic Linkages between Stock and Bond Returns

Eraslan, Sercan - 2017

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

Persistent link: https://www.econbiz.de/10012953399

European Equity Market Contagion : An Empirical Application to Ireland's Sovereign Debt Crisis

Corbet, Shaen - 2014

This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the collapse of Irish equity markets and subsequent...

Persistent link: https://www.econbiz.de/10013052375