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The spectre of terrorism and the stock market
Hanna, Alan J.; Turner, John D.; Walker, Clive B. - 2022
returns and increased volatility on the UK stock market. …
Persistent link: https://www.econbiz.de/10013428887
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Exchange rate dynamics and United States dollar-denominated sovereign bond prices in emerging markets
Hui, Cho H.; Lo, Chi-fai; Chau, Po-hon - 2017
The study conducts an empirical test on dollar-denominated sovereign credit spreads in emerging markets, including Brazil, Colombia, Mexico, the Philippines, the Russian Federation, and Turkey to examine their relationship with each country's exchange rate and the United States (US) Treasury...
Persistent link: https://www.econbiz.de/10011756971
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Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis
Gabriel, Vitor - In: Revista de métodos cuantitativos para la economía y … 19 (2015), pp. 42-65
Financial market volatility is an important element when setting up port- folio management strategies, option pricing … bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects. …
Persistent link: https://www.econbiz.de/10011306093
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Jump Risk Premia Across Major International Equity Markets
Arouri, Mohamed El Hedi - 2019
, suggesting that both continuous and discontinuous price and volatility risks share compensations for common underlying risk …
Persistent link: https://www.econbiz.de/10012895506
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Extreme dependence between crude oil and stock markets in Asia-Pacific regions : evidence from quantile regression
Zhu, Huiming; Huang, Hui; Peng, Cheng; Yang, Yan - 2016
This paper investigates the extreme dependence between the Asia-Pacific stock markets and the international crude oil market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors obtain a more detailed result on the degree and...
Persistent link: https://www.econbiz.de/10011561029
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Extending financialisation and increasing fragility of the financial system
Iancu, Aurel - 2013
Financialisation is a complex and dynamic process of enlarging the monetary and financial relations in economy and society. This paper deals with the analysis of the financial market structure such as: the role and magnitude of financial sectors, the dynamics of the banking sector versus the...
Persistent link: https://www.econbiz.de/10010529060
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Volatility Transmission Across Equity Markets : Did the Relationships Hold During the Global Financial Crisis?
Asaturov, Konstantin - 2014
Previous research has proven that large financial markets can be prime determinants of volatility in smaller markets … in transmitting financial volatility. Utilizing bivariate DCC-GARCH modeling, we estimate volatility spillover effects … results show that the US market (S&P500 index) is the main volatility transmitter worldwide, whereas the UK, German and French …
Persistent link: https://www.econbiz.de/10013058952
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The shifts and the shocks : bank risk, leverage, and the macroeconomy
Kuvshinov, Dmitry; Richter, Björn; Zimmermann, Kaspar - 2022
This paper studies the long-run evolution of bank risk and its links to the macroeconomy. Using data for 17 advanced economies, we show that the riskiness of bank assets declined materially between 1870 and 2016. But even though bank assets have become safer, the losses on these assets are...
Persistent link: https://www.econbiz.de/10013265941
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Why are banks not recapitalized during crises?
Crosignani, Matteo - 2017
I develop a model where the sovereign debt capacity depends on the capitalization of domestic banks. Low-capital banks optimally tilt their government bond portfolio toward domestic securities, linking their destiny to that of the sovereign. If the sovereign risk is sufficiently high,...
Persistent link: https://www.econbiz.de/10011978342
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Asset-liability management with ultra-low interest rates
Grossman, Richard S.; Molyneux, Philip; Lambert, Frederic; … - Conference on Asset-Liability Management with Ultra-Low …; … - 2015
On 11 March 2015, SUERF jointly organised a conference with the Oesterreichische Nationalbank and the Austrian Society for Bank Research (Bankwissenschaftliche Gesellschaft - BWG). The present SUERF Study 2015/2 includes a selection of papers based on the authors' contributions to the Vienna...
Persistent link: https://www.econbiz.de/10011413495