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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10010407524
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10010515402
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FRM Financial Risk Meter for Emerging Markets
Ben Amor, Souhir; Althof, Michael; Härdle, Wolfgang K. - 2021
The fast-growing Emerging Market (EM) economies and their improved transparency and liquidity have attracted international investors. However, the external price shocks can result in a higher level of volatility as well as domestic policy instability. Therefore, an efficient risk measure and...
Persistent link: https://www.econbiz.de/10013241460
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Interconnectedness in the global financial market
Raddant, Matthias; Kenett, Dror Y. - 2017
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events. This paper analyzes the dependencies among nearly 4,000...
Persistent link: https://www.econbiz.de/10011635363
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Stock market contagion during the global financial crises : evidence from the Chilean stock market
Mahenthiran, Sakthiharan; Gjerde, Tom; Silva, Berta - In: International Journal of Financial Studies : open … 8 (2020) 2/26, pp. 1-22
The study examines evidence for the transmission of the US and EU financial crises via investor holdings into the Chilean stock market following two global financial crises, in 2008 and 2011. The study modified the models of Bekaert et al. (2014), and Dungey and Gajurel (2015) on the 2007-2009...
Persistent link: https://www.econbiz.de/10012239317
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Fragmentation in Global Financial Markets : Good or Bad for Financial Stability?
Claessens, Stijn - 2019
The many regulatory reforms following the Great Financial Crisis of 2007-09 have most often been designed and adopted through an international cooperative process. As such, actions have tended to harmonise national approaches and diminish inconsistencies. Nevertheless, some market participants...
Persistent link: https://www.econbiz.de/10012861840
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Financial Market's Appetite for Risk : And the Challenge of Assessing its Evolution by Risk Appetite Indicators
Uhlenbrock, Birgit - 2016
Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...
Persistent link: https://www.econbiz.de/10012989257
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Islamic Financial Markets and Global Crises : Contagion or Decoupling?
Kenourgios, Dimitris - 2016
This paper investigates the contagion effects of the global financial crisis (GFC) and Eurozone sovereign debt crisis (ESDC) on Islamic equity and bond markets. Using a sample of Islamic stock indices from various developed and emerging markets and the global Islamic stock and bond (sukuk)...
Persistent link: https://www.econbiz.de/10012992182
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Clarifying the response of gold return to financial indicators : an empirical comparative analysis using ordinary least squares, robust and quantile regressions
Miyazaki, Takashi - In: Journal of risk and financial management : JRFM 12 (2019) 1/33, pp. 1-18
In this study, I apply a quantile regression model to investigate how gold returns respond to changes in various … financial indicators. The model quantifies the asymmetric response of gold return in the tails of the distribution based on … the relationship between gold return and some key financial indicators changed three times throughout the sample period …
Persistent link: https://www.econbiz.de/10012022330
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Spillover dynamics for systemic risk measurement using spatial financial time series models : conference paper
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014
A new model for time-varying spatial dependencies is introduced. It forms an extension to the popular spatial lag model and can be estimated conveniently by maximum likelihood. The spatial dependence parameter is assumed to follow a generalized autoregressive score (GAS) process. The theoretical...
Persistent link: https://www.econbiz.de/10010491085