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A Flexible Dynamic Correlation Model
Baur, Dirk G. - 2009
shown that the covariance and correlation is not adequately specified under certain conditions. This implies that any … analysis of the persistence and the asymmetry of the correlation is difficult and potentially inaccurate. I therefore propose a … new Flexible Dynamic Correlation (FDC) model that parameterizes the conditional correlation directly and eliminates …
Persistent link: https://www.econbiz.de/10014089465
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Exchange return co-movements and volatility spillovers before and after the introduction of euro
Antonakakis, Nikolaos - 2012
This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic correlations, variance decompositions, generalized VAR analysis,...
Persistent link: https://www.econbiz.de/10011347744
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Did Brexit change asset co-movements?
Saha, Shrabani; Sen, Anindya; Smith-Han, Christine; … - In: Journal of financial economic policy 14 (2022) 1, pp. 43-55
Persistent link: https://www.econbiz.de/10012797551
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Brexit and the dependence structure among the G7 bank equity markets
Nekhili, Ramzi; Giannopoulos, Kostas - In: Investment management and financial innovations 17 (2020) 2, pp. 231-239
Persistent link: https://www.econbiz.de/10012303143
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From Black Wednesday to Brexit : macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom
Gottschalk, Sylvia - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 2843-2873
Persistent link: https://www.econbiz.de/10014327598
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Empirical Analysis of Market Reactions to the UK's Referendum Results – How Strong Will Brexit Be?
Samitas, Aristeidis - 2018
This paper studies the effects of the June 2016 United Kingdom European Union membership referendum and the subsequently triggered article 50 on 43 major developed and emerging stock markets. Specifically, on a bivariate basis, we use dependence dynamics through copulas with regime switching of...
Persistent link: https://www.econbiz.de/10012927563
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Non-Linearity in the Dividend Yield : A Comparison of the US and Japan
Humpe, Andreas - 2016
In order to examine non-linear predictability of the US and Japanese dividend-yield ratio, smooth transition regression model analysis is applied to an extended time period of data. The theoretical basis for investigating non-linear behaviour in stock returns can be based on the interaction...
Persistent link: https://www.econbiz.de/10012993353
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European markets’ reactions to exogenous shocks : a high frequency data analysis of the 2005 London bombings
Kollias, Chrēstos; Papadamou, Stephanos; Siriopoulos, … - In: International Journal of Financial Studies : open … 1 (2013) 4, pp. 154-167
Terrorist incidents exert a negative, albeit usually short-lived, impact on markets and equity returns. Given the integration of global financial markets, mega-terrorist events also have a high contagion potential with their shock waves being transmitted across countries and markets. This paper...
Persistent link: https://www.econbiz.de/10010243563
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The Spillover Effects Following Brexit Announcements
Gifuni, Luigi - 2022
This work quantifies the financial and macroeconomic effects of the most significant Brexit events from 23 June 2016 up to 31 December 2019 for fifteen economies. The study uses high-frequency data and shows that following the referendum outcome, overall the 10-year government bond yield of the...
Persistent link: https://www.econbiz.de/10013289046
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Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets : pre & post crisis
Vukovic, Darko B.; Lapshina, Kseniya A.; Maiti, Moinak - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10013186510