We examine the long-run relationships and short-run dynamic linkages among 9 major cross-currency swap spreads, with specific emphasis on how crisis periods have impacted the long-run relationships and short-run dynamic transmissions. The results show that the long-run relationships were...

We examine the long-run relationships and short-run dynamic linkages among 9 major cross-currency swap spreads, with specific emphasis on how crisis periods have impacted the long-run relationships and short-run dynamic transmissions. The results show that the long-run relationships were...

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well...

Konzepte der barwertigen Zinsrisikomessung -- Determinanten der Autokorrelation in der historischen Simulation -- Autokorrelation unter Verwendung unterschiedlicher Zinskurven und Vorgehensweisen -- Analyse der Prognosegüte vor dem Hintergrund verschiedener Autokorrelationseffekte --...