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Contagion testing in embryonic markets under alternative stressful US market scenarios
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2019
We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete conditions of: (1) Tranquil versus turbulent...
Persistent link: https://www.econbiz.de/10012156543
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Essays on realized volatility and jumps
Larson, Marcus - 2008
Persistent link: https://www.econbiz.de/10003758871
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Investigating the dependence structure between credit default swap spreads and the U.S. financial market
Gatfaoui, Hayette - In: Annals of finance 6 (2010) 4, pp. 511-535
Persistent link: https://www.econbiz.de/10008652598
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An alternative approach to evaluating the agreement between financial markets
Seung Oh Nam; Hyun Kyung Kim; Byung Chun Kim - In: Journal of international financial markets, … 20 (2010) 1, pp. 12-35
Persistent link: https://www.econbiz.de/10003942460
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Central bank communication and correlation between financial markets : Canada and the United States
Beck, Melanie-Kristin; Hayo, Bernd; Neuenkirch, Matthias - In: International economics and economic policy : IEEP 10 (2013) 2, pp. 277-296
Persistent link: https://www.econbiz.de/10009754633
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Optimal portfolio allocation among REITs, stocks, and long-term bonds : an empirical analysis of US financial markets
Bhuyan, Rafiqul; Kuhle, James L.; Ikromov, Nuriddin; … - In: Journal of mathematical finance 4 (2014) 2, pp. 104-112
Persistent link: https://www.econbiz.de/10010380907
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A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy
Daugherty, Mary Schmid; Jithendranathan, Thadavillil - In: Journal of multinational financial management 32/33 (2015), pp. 95-115
Persistent link: https://www.econbiz.de/10011540118
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Asymmetric dynamics in correlations of treasury and swap markets : evidence from the US market
Toyoshima, Yuki; Tamakoshi, Go; Hamori, Shigeyuki - In: Journal of international financial markets, … 22 (2012) 2, pp. 381-394
Persistent link: https://www.econbiz.de/10009581695
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Investigating the link between credit default swap spreads and the US financial market
Gatfaoui, Hayette - In: The credit derivatives handbook : global perspectives, …, (pp. 183-200). 2008
Persistent link: https://www.econbiz.de/10003748417
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Essays on financial economics
Pinheiro, Marcelo de Albuquerque - 2003
Persistent link: https://www.econbiz.de/10003628557