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Minimum Connectedness Portfolios and the Market for Green Bonds : Advocating Socially Responsible Investment (SRI) Activity

Broadstock, David C.; Chatziantoniou, Ioannis; Gabauer, … - 2021

. The market for green bonds was established in 2007, and in recent years is achieving a phase of maturity. Notwithstanding … whether green bonds have a (value-enhancing) role to play in a balanced fixed-income investment portfolio. We phrase our … analysis around international bond indices, for green versus black bonds in the three major market regions for green bonds …

Persistent link: https://www.econbiz.de/10013238330

Market linkages, variance spillovers and correlation stability : empirical evidence of financial contagion

Billio, Monica; Caporin, Massimiliano - 2007

We propose a simultaneous equation system with GARCH errors to model the contemporaneous relations among Asian and American stock markets. On the estimated residuals, we evaluate the correlation matrix over rolling windows and introduce a correlation matrix distance, which allows both a...

Persistent link: https://www.econbiz.de/10003912121

Goodness-of-fit test for specification of semiparametric copula dependence models

Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - 2013

This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between "in-sample" and "out-of-sample" pseudolikelihoods, which avoids the use of any probability integral transformations. Under...

Persistent link: https://www.econbiz.de/10009789426

Rational Speculative Bubbles and Commodities Markets : Application of Duration Dependence Test

Went, Peter - 2011

The presence of rational speculative bubbles in 28 commodities is investigated using the duration dependence test on the stochastic interest-adjusted basis. 11 of 28 commodities experienced some episodes of rational speculative bubble. These commodities are WTI crude oil, coffee, corn, soybean...

Persistent link: https://www.econbiz.de/10013121177

Stock Market Spread Trading : Argentina and Brazil Stock Indices

Batten, Jonathan A. - 2012

Brazil is the largest stock market in South America, whereas Argentina is one of the smallest. Nonetheless, the most important stock indices representing these markets (the Brazil Bovespa and the Argentinian Merval) are highly correlated with two-way Granger causality. This feature facilitates...

Persistent link: https://www.econbiz.de/10013099289

ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling

Degiannakis, Stavros Antonios - 2018

ARFIMAX models are applied in estimating the intra-day realized volatility of the CAC40 and DAX30 indices. Volatility clustering and asymmetry characterize the logarithmic realized volatility of both indices. ARFIMAX model with time-varying conditional heteroscedasticity is the best performing...

Persistent link: https://www.econbiz.de/10012910127

The Effect of Economic Policy Uncertainty on Stock-Commodity Correlations and its Implications on Optimal Hedging

Badshah, Ihsan - 2018

Motivated by previous studies documenting significant return and volatility effects of economic policy uncertainty (EPU) on the stock market, this study examines whether EPU has an effect on the dynamic conditional correlations between stock and commodity returns. Our findings point to a...

Persistent link: https://www.econbiz.de/10012912017

Futures Trading and the Excess Comovement of Commodity Prices

Le Pen, Yannick - 2017

We empirically reinvestigate the issue of the excess co-movement of commodity prices initially raised in Pindyck and Rotemberg (1990). Excess co-movement appears when commodity prices remain correlated even after adjusting for the impact of fundamentals. We use recent developments in large...

Persistent link: https://www.econbiz.de/10012974751

The Dynamics of Arbitrage : Evidence from the Forward Markets

Batten, Jonathan A. - 2017

Covered interest parity (CIP) is the theoretical relationship that explains the price difference between spot and forward exchange rates in terms of the interest rate differential between the home and the foreign currency. CIP arbitrage maintains the parity pricing between a host of financial...

Persistent link: https://www.econbiz.de/10012975363

The Dynamics of Trading in Commodity Futures

Kaul, Aditya - 2013

We examine weekly trading imbalances for speculators and small investors in the commodity futures market and their price and volatility effects over the period 1986-2012. First, speculators behave like short term momentum traders and long-term contrarians. Their imbalances are positively...

Persistent link: https://www.econbiz.de/10013077620

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