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An Anatomy of Cryptocurrency Sentiment
Canayaz, Mehmet; Cao, Charles; Nguyen, Giang; Wang, Qiang - 2023
In this paper, we investigate the impact of market sentiment on cryptocurrency returns. To accomplish this, we use a novel dataset that captures a multitude of attitudes, moods, and emotions extracted from a vast amount of news and social media content. Our findings indicate that social media...
Persistent link: https://www.econbiz.de/10014349730
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Measuring co-movements of CDS premia during the Greek debt crisis
Andenmatten, Sergio; Brill, Felix - 2011
crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and … and industrialized countries. Our results indicate that there were periods of contagion for CDS markets during the Greek … crash and their conclusion of no contagion, only interdependence. Especially for European countries we would instead …
Persistent link: https://www.econbiz.de/10010316042
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Extreme Downside Risk and Financial Crises
Harris, Richard D. F. - 2015
We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return relationship identified by Bali, Demirtas, and...
Persistent link: https://www.econbiz.de/10013015516
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Measuring connectedness of euro area sovereign risk
Buse, Rebekka; Schienle, Melanie - 2019
We introduce a method for measuring default risk connectedness of euro zone sovereign states using credit default swap (CDS) and bond data. The connectedness measure is based on an out-of-sample variance decomposition of model forecast errors. Due to its predictive nature, it can respond more...
Persistent link: https://www.econbiz.de/10011958223
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Advancements in stress-testing methodologies for financial stability applications
Budnik, Katarzyna; Marques, Aurea Ponte; Ben Hadj, … - 2024
This paper provides an overview of stress-testing methodologies in Europe, with a focus on the advancements made by the European Central Bank's Financial Stability Committee Working Group on Stress Testing (WGST). Over a four-year period, the WGST played a pivotal role in refining stress-testing...
Persistent link: https://www.econbiz.de/10014530302
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Market Risk, Connectedness and Turbulence : A Comparison of 21st Century Financial Crises
Ahelegbey, Daniel Felix - 2020
We construct a network-based turbulence score that proves useful for analyzing the relationship between financial interconnectedness, and global market risk, and for identifying systemically important markets, with the highest contribution to financial turbulence. We apply our measure to study...
Persistent link: https://www.econbiz.de/10012835937
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Modeling Turning Points In The Global Equity Market
Ahelegbey, Daniel Felix; Billio, Monica; Casarin, Roberto - 2021
Turning points in financial markets are often characterized by changes in the direction and/or magnitude of market movements with short-to-long term impacts on investors' decisions. This paper develops a Bayesian technique to turning point detection in financial equity markets. We derive the...
Persistent link: https://www.econbiz.de/10013313479
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International Financial Integration and Stock Market in Developing Countries
Zaarour, Fatma; Ajimi, Adnene - 2021
Objective - This study examines the relation between stock market capitalization and international financial integration for 23 developing countries during 1996 - 2018.Methodology/Technique - By using recently developed econometric panel techniques. The present paper takes into consideration...
Persistent link: https://www.econbiz.de/10014361660
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Global Financial Risks and Changes in Conditional Value-at-Risk
Lim, Kian-Guan - 2013
financial risks and its contagion effect across the globe. An important implication arising out of these conclusions is that …
Persistent link: https://www.econbiz.de/10013092502
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Oil prices and their long-term relationship with macroeconomic and financial indicators
Bucevska, Vesna; Gjelevski, Borjan; Matevska, Lea - In: Economic review : journal of economics & business 21 (2023) 1, pp. 3-24
The objective of this paper is to find out whether there is a long-term relationship or in other words cointegration, between the prices of oil futures and the following factors: the consumer price index (CPI), the exchange rate of the USD to the EUR, the prices of gold, and the price of...
Persistent link: https://www.econbiz.de/10014466537