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Financial integration in the GCC region : market size versus national effects
Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, … - 2019
This paper examines financial spillovers between the four largest equity markets (by market capitalization) in the GCC region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis. Since the UAE is a federation including two stock...
Persistent link: https://www.econbiz.de/10012026436
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The euro introduction and non-euro currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006
, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using … formal decision to proceed with the euro was made in December 1996 and at the time of the actual introduction of the euro in …
Persistent link: https://www.econbiz.de/10011343243
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The impacts of global oil prices fluctuations on stock markets : an empirical analysis for OECD countries
Memis, Ayyuce; Kapusuzoglu, Ayhan - In: International journal of economic perspectives : IJEP 9 (2015) 1, pp. 80-91
Persistent link: https://www.econbiz.de/10011579249
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Predictability in Implied Volatility Surfaces : Evidence from the Euro OTC FX Market
Chalamandaris, George - 2014
volatilities from over-the-counter options on eight different currencies, quoted against the Euro. We examine implied volatility …
Persistent link: https://www.econbiz.de/10013066121
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Predictable Dynamics in Implied Volatility Surfaces from OTC Currency Options
Chalamandaris, George - 2010
Recent empirical studies report predictable dynamics in the volatility surfaces implied by observed index option prices, as prescribed by general equilibrium models. Using an extensive data set from the over-the-counter options market, we document similar predictability in the factors that...
Persistent link: https://www.econbiz.de/10013150628
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Has the euro affected the choice of invoicing currency?
Ligthart, Jenny E.; Werner, Sebastian E. V. - 2010
We present a new approach to study empirically the effect of the introduction of the euro on currency invoicing. Our … home currency invoicing after the introduction of the euro. In addition, the euro as a vehicle currency has overtaken the … role of the US dollar in Norwegian imports. The econometric analysis shows a significant effect of euro introduction above …
Persistent link: https://www.econbiz.de/10010275698
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010515402
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010407524
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Aggregate Trading Behaviour of Technical Models and the Yen/Dollar Exchange Rate 1976-2007
Schulmeister, Stephan - 2010
The study analyses the interaction between the trading behaviour of 1,024 moving average and momentum models and the fluctuations of the yen-dollar exchange rate. I show first that these models would have exploited exchange rate trends quite profitably between 1976 and 2007. I then show that the...
Persistent link: https://www.econbiz.de/10013135725
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An Essay on Exchange Rate Dynamics
Schulmeister, Stephan - 2010
There is rarely another field in economics where the prevailing theoretical models have been contradicted so strongly by empirical evidence as exchange rate economics. This study therefore attempts to investigate exchange rate dynamics in an exploratory way. It is first demonstrated that the...
Persistent link: https://www.econbiz.de/10013135726