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, including contagion, flight to collateral, and swings in the issuance volume of the highest quality debt. We explain the …
Persistent link: https://www.econbiz.de/10010895688
The focus of this paper lies in the study of the intraday distribution of the number of transactions and transaction volume (absolute and mean per transaction) in the interbank credit market e-MID in different market states around the events of the financial crisis of 2007. The results show that...
Persistent link: https://www.econbiz.de/10012133514
This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...
Persistent link: https://www.econbiz.de/10012138660
Heavy tails and volatility clusters are both stylized facts of financial returns that destabilize markets. The former are extreme events by definition and the latter can accelerate adverse market developments. This work disentangles the two sources and examines which one does the greater damage...
Persistent link: https://www.econbiz.de/10014350927
We examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We … use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative … set of marketrelated variables, we show that during the period from 1998 to 2014, financial contagion occurred, i …
Persistent link: https://www.econbiz.de/10011482691
the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken …
Persistent link: https://www.econbiz.de/10011108677
the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken …
Persistent link: https://www.econbiz.de/10008543770
: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies …
Persistent link: https://www.econbiz.de/10011597965
positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …
Persistent link: https://www.econbiz.de/10011874650
autoregressive conditional heteroskedasticity (GARCH)–class models in terms of their in-sample and out-of-sample forecasting accuracy … 2015. The results suggest that the Asymmetric Power of ARCH (APARCH) model is the most accurate model in the GARCH class …
Persistent link: https://www.econbiz.de/10011960525