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Financial industry and oil price volatility : an analysis on Central and Eastern Europe

Vrinceanu, Georgiana; Horobet, Alexandra; Popescu, Consuela - In: The changing financial landscape : financial …, (pp. 41-63). 2021

the financial industry, as well as Brent crude oil prices, to estimate a two-stage GARCH (1,1) to capture the effects of … temporal dependence in oil prices volatility on financial industry firms’ returns. The GARCH model is complemented by Granger …

Persistent link: https://www.econbiz.de/10012805648

Impact of COVID-19, political, and financial events on the performance of commercial banking sector

Ghouse, Ghulam; Bhatti, Muhammad Ishaq; Shahid, … - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-18

the GARCH model, which explains the current financial and political distress for the case of shocks from COVID-19. We …

Persistent link: https://www.econbiz.de/10013273109

The impact of institutional volatility on financial volatility in transition economies

Hartwell, Christopher A. - In: Journal of comparative economics : the journal of the … 46 (2018) 2, pp. 598-615

Persistent link: https://www.econbiz.de/10012109405

The future of financial innovation : evaluating the cryptocurrencies’ rates and political restrictions worldwide

Prosekov, Sergey; Danish, Mir Sayed Shah; Senjyu, Tomonobu - In: Strategic outlook in business and finance innovation : …, (pp. 123-133). 2021

Persistent link: https://www.econbiz.de/10012508827

SRISK : a conditional capital shortfall measure of systemic risk

Brownlees, Christian; Engle, Robert F. - 2017

We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top US financial institutions in the recent...

Persistent link: https://www.econbiz.de/10011975954

Distilling co-movements from persistent macro and financial series

Abadir, Karim Maher (contributor); … - 2005

We provide a methodology to disentangle the long-run relation between variables from their own dynamics. Macroeconomic and aggregate financial series have a high degree of inertia. If this persistence is not properly accounted for, spurious correlations will give rise to paradoxes. Our procedure...