We investigate for the first time the spot rate dynamics for Very Large Gas Carriers (VLGCs) by means of multrifractal detrended fluctuation analysis (MF-DFA) and rescaled range (R/S) analysis. Both methods allow for a rigorous statistical analysis of the freight process by detecting...

Following the 2007-2009 global recession, economic policy uncertainty and its effect on economic recovery has become an issue of interest in academic, media as well as policy-making circles (Baker et al., 2013). Given this backdrop, we investigate causality between economic policy uncertainty in...

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional...

The efficiency of a nation's banking industry is a critical factor in the quest to realize economic growth and prosperity for its citizens. This study identifies a host of macroeconomic factors which have been shown to have a strong causal link with the efficient operation of a given banking...

This paper proposes a model for discrete-time hedging based on continuous-time movements in portfolio and foreign currency exchange rate returns. In particular, the vector of optimal currency exposures is shown to be given by the negative realized regression coefficients from a one-period...

This paper proposes a novel approach to uncover the linkages of the housing market and macroeconomy for fifteen OECD countries. One of the limitations of conventional approach is that it does not distinguish the time domain from the frequency domain. However, econometric and economic rationale...

This paper considers the well established empirical fact that conditional correlations among cross-country interest rates switch signs. Switching implies an alternation of coupling and decoupling of global bond markets over time. This evidence is robust to alternative estimation schemes. Here we...

This paper considers the well established empirical fact that conditional correlations among cross-country interest rates switch signs. Switching implies an alternation of coupling and decoupling of global bond markets over time. This evidence is robust to alternative estimation schemes. Here we...

This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups - industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose...

China has been considered a systemically important economy for at least a decade. As policy makers worldwide grapple with sluggish growth there is relatively little evidence about whether the G4, which consists of the US, the Eurozone, Japan, and includes China, as a block contributes to global...