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Persistent link: https://www.econbiz.de/10010223114
In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...
Persistent link: https://www.econbiz.de/10012023869
How does sovereign risk affect investors' behavior? We answer this question using a novel database that combines sovereign default probabilities for 27 developed and emerging markets with monthly data on the portfolios of individual bond mutual funds. We first show that changes in yields do not...
Persistent link: https://www.econbiz.de/10012126135
Although the economic recovery seems off to a stronger start than anticipated earlier, there are considerable differences between the various regions. Emerging and developing economies are expected to benefit from strong internal demand while for most advanced economies the recovery is expected...
Persistent link: https://www.econbiz.de/10013135370
The recent financial crisis proved that pre-existing arrangements for the governance of global markets were flawed. With reform underway in the USA, the EU and Internationally, this book explores most of the questions associated with building an effective governance system and analyses the...
Persistent link: https://www.econbiz.de/10013106506
The Global Financial Crisis has shown that the international financial system is vulnerable to breakdown. The financial trilemma demonstrates that financial stability, international banking and national financial supervision cannot be combined. National supervisors force international banks to...
Persistent link: https://www.econbiz.de/10013084044
Persistent link: https://www.econbiz.de/10012016142
This paper shows that currency momentum, which cannot be explained by carry and dollar factors, summarizes the autocorrelation of these factors. Carry and dollar factors are strongly autocorrelated and only earn significantly positive excess returns following positive factor returns. Currency...
Persistent link: https://www.econbiz.de/10012244553
We compare several models that forecast ex-ante Bitcoin one-day Value-at-Risk (VaR), starting from the simplest ones like Parametric Normal and Historical Simulation and arriving at Historical Filtered Bootstrap and Extreme Value Theory Historical Filtered Bootstrap. We also consider Gaussian...
Persistent link: https://www.econbiz.de/10012912478
This paper investigates to what extent low-income developing countries (LIDCs) characterized as frontier markets (FMs) have begun to be subject to capital flows dynamics typically associated with emerging markets (EMs). Using a sample of developing countries covering the period 2000-14, we show...
Persistent link: https://www.econbiz.de/10012115095