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Can gold hedge and preserve value when the US dollar depreciates?
Reboredo, Juan Carlos; Rivera-Castro, Miguel A. - In: Economic modelling 39 (2014), pp. 168-173
Persistent link: https://www.econbiz.de/10010419909
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Mispricing and uncertainty in international markets
Sandulescu, Mirela; Schneider, Paul - 2021
. Return data for several economies reveal that RMP is countercyclical and related to financial uncertainty. RMP further shows …
Persistent link: https://www.econbiz.de/10012487677
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Exchange rates and the global transmission of equity market shocks
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - 2021
We assess the role played by exchange rates in buffering or amplifying the propagation of shocks across international equity markets. Using copula functions we model the joint dependence between exchange rates and two global equity markets and, from a copula framework, we obtain the conditional...
Persistent link: https://www.econbiz.de/10012549999
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
spillovers mostly run from stocks to bonds and exhibit a time-varying pattern over all three stages of the crisis in most … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …
Persistent link: https://www.econbiz.de/10011663407
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A wavelet approach of investing behaviors and their effects on risk exposures
Mestre, Roman - In: Financial innovation : FIN 7 (2021), pp. 1-37
the long-run, (fundamentalists investors), Oil and Gold affect all stocks but their impact varies according to the Beta …-EGARCH errors (Auto Regressive Moving Average Exponential AutoRegressive Conditional Heteroskedasticity). Our model considers gold …, oil, and Fama-French factors as supplementary sources of risk and wavelets decompositions. We used 30 French stocks listed …
Persistent link: https://www.econbiz.de/10012500129
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On the factors of Bitcoin's value at risk
Kwon, Ji Ho - In: Financial innovation : FIN 7 (2021), pp. 1-31
% VaR. I also find that the 1% VaR has positive relationships with the US economic policy uncertainty index and the …
Persistent link: https://www.econbiz.de/10012798684
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Multi-currency (Risky) Sovereign Bonds Arbitrage
Yordanov, Vilimir - 2018
Sovereigns are active issuers both of foreign and domestic debt. The former, composed mainly of internationally traded hard currency denominated Eurobonds, serves as a direct benchmark for the creditworthiness of the country. The latter, represented by local treasuries, although considered a...
Persistent link: https://www.econbiz.de/10012938247
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Risk and Risk Premia : A Cross Asset Class Analysis
Ebner, Markus - 2016
The existence of risk premia has been widely documented in the academic literature over the past decades. However, until now they have typically been handled as separate phenomena for specific markets or asset classes and thus examined independently. This study analyses risk premia across a...
Persistent link: https://www.econbiz.de/10013002075
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Risky Sovereign Capital Structure : Macrofinancial Diagnostics
Yordanov, Vilimir - 2018
currency bonds, here we move forward by elaborating on pricing them consistently in an out of equilibrium market situation …
Persistent link: https://www.econbiz.de/10012937300
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Time-Varying Risk Aversion and Currency Excess Returns
Demirer, Riza; Yuksel, Asli; Yuksel, Sadettin Aydin - 2021
uncertainty. Interestingly the excess returns generated by the risk aversion based strategy are found to have significant loadings …
Persistent link: https://www.econbiz.de/10013234136