Showing 1 - 10 of 5,702
It was evident that credit default swap (CDS) spreads have been highly correlated during the recent financial crisis. Motivated by this evidence, this study attempts to investigate the extent to which CDS markets across regions, maturities and credit ratings have integrated more in crisis. By...
Persistent link: https://www.econbiz.de/10010399421
Efficiency of the equity market is one of the areas of prime concern for the stock market regulators because of its bearing on the investment behavior of investors. Also, with the increase in the level of integration with global stock markets, information originating in different countries has...
Persistent link: https://www.econbiz.de/10013122200
I develop methods that produce consistent estimates of the Vasicek-Basel IRB (VAIRB) credit risk model parameters. I apply these methods to Moody's data on corporate defaults over the period 1920–2008 and assess the model fit and construct hypothesis tests using bootstrap methods. The results...
Persistent link: https://www.econbiz.de/10013070465
This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coefficients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for...
Persistent link: https://www.econbiz.de/10013076694
.99%. Accordingly, this paper presents a semi-parametric estimation method, re-scaling data from high- to low-frequency which allows to … obtain significantly more data points for the estimation of the respective risk measures. The presented methodology in the α …
Persistent link: https://www.econbiz.de/10012827639
Persistent link: https://www.econbiz.de/10010191413
Long-range dependency of the volatility of exchange-rate time series plays a crucial role in the evaluation of exchange-rate risks, in particular for the commodity currencies. The Australian dollar is currently holding the fifth rank in the global top 10 most frequently traded currencies. The...
Persistent link: https://www.econbiz.de/10012293280
Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is...
Persistent link: https://www.econbiz.de/10011860248
In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and price indices of pairs of countries, as well as their bilateral nominal exchange rate. Then, we show that under certain long-run restrictions, our approach encompasses a large...
Persistent link: https://www.econbiz.de/10012171036
This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock index returns. Daily returns from 2 January 1998 to 4 November 2009 of the crude oil spot, forward and futures prices from the WTI and Brent markets, and the FTSE100, NYSE, Dow...
Persistent link: https://www.econbiz.de/10013149274