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A cost-risk analysis of sovereign debt composition in CESEE
Beer, Sebastian - In: Focus on European economic integration (2018) 1, pp. 6-25
Persistent link: https://www.econbiz.de/10012193215
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Nominal anchors in EU accession countries: Recent experiences
Frömmel, Michael; Schobert, Franziska - 2003
We investigate official and implicit nominal anchors for six Central and Eastern European countries during 1994 to 2002. Most of these countries have moved from fixed to more flexible regimes and adopted a form of inflation targeting. Achieving their new official targets has had mixed success....
Persistent link: https://www.econbiz.de/10010317614
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The impact of macroeconomic news on Polish and Czech government bond markets
Hausenblas, Václav; Pištora, Vojtěch - 2015
We study the impact of news embedded in scheduled macroeconomic announcements on the government bond market in Poland and the Czech Republic. We conduct an event study on intraday data and time-series regressions using daily data over an eight-year period, distinguishing between effects under...
Persistent link: https://www.econbiz.de/10010529892
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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
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Interest-rate volatility and volatility spillovers in emerging Europe
Hegerty, Scott W. - In: International review of applied economics 25 (2011) 5, pp. 599-614
Persistent link: https://www.econbiz.de/10009355303
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No commonality in liquidity on small emerging markets? : evidence from the Central and Eastern European stock exchanges
Olbryś, Joanna - In: Comparative economic research : Central and Eastern Europe 23 (2020) 3, pp. 91-109
estimator. The OLS regression with the HAC covariance matrix estimation and the GARCH-type models are employed toexplore the …
Persistent link: https://www.econbiz.de/10012419201
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Volatility and asymmetric dependence in Central and East European stock markets
Joseph, Nathan Lael; Vo, Thi Thuy Anh; Mobarek, Asma; … - In: Review of quantitative finance and accounting 55 (2020) 4, pp. 1241-1303
Persistent link: https://www.econbiz.de/10012304151
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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
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Bidirectional linkage between inflation and inflation uncertainty : the case of Eastern European countries
Živkov, Dejan; Njegic, Jovan; Pecanac, Marko - In: Baltic journal of economics 14 (2014) 1/2, pp. 124-139
choosing an optimal Generalized Autoregressive Conditional Heteroskedasticity- (GARCH) type model. Subsequently, inflation and …
Persistent link: https://www.econbiz.de/10011890489
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Measuring the effects of inflation and inflation uncertainty on output growth in the Central and Eastern European countries
Živkov, Dejan; Kovačević, Jelena; … - In: Baltic journal of economics 20 (2020) 2, pp. 218-242
Countries. Inflation uncertainty series are created examining several GARCH models in combination with three different …
Persistent link: https://www.econbiz.de/10012487908