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This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the...
Persistent link: https://www.econbiz.de/10010509638
This paper presents evidence of linkages across equity markets in the following transition economies: Russia, Ukraine, Poland and Czech Republic from beginning of January 2005 till the end of December 2014. We apply a multivariate asymmetric EGARCH model. Empirical results indicate significant...
Persistent link: https://www.econbiz.de/10011454085
This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...
Persistent link: https://www.econbiz.de/10011663407
Using the bivariate GARCH methodology, this study examines bank stock sensitivities to market, interest rate, and …
Persistent link: https://www.econbiz.de/10013006326
The consequences of large depreciations on economic activity depend on the relative strength of the contractionary balance sheet and expansionary expenditure switching effects. However, the two operate over different time horizons: the balance sheet effect hits almost immediately, while...
Persistent link: https://www.econbiz.de/10012831605
estimation of market returns by providing a new indicator that accounts for the information content in prices and trading volumes …
Persistent link: https://www.econbiz.de/10003481783
When a bank experiences a negative shock to its equity, one way to return to target leverage is to sell assets. If … asset sales occur at depressed prices, then one bank's sales may impact other banks with common exposures, resulting in … explains how the distribution of leverage and risk exposures across banks contributes to systemic risk. We compute bank …
Persistent link: https://www.econbiz.de/10013092127
Persistent link: https://www.econbiz.de/10001659873
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
We investigate the association between real estate investment by US Bank Holding Companies (BHCs) and their return …
Persistent link: https://www.econbiz.de/10013006309