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Risk, monetary policy and asset prices in a global world
Bekaert, Geert; Hoerova, Marie; Xu, Nancy R. - 2023
We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating between "traditional" monetary policy and communication events, each decomposed into "pure" and information shocks. Communication shocks from the US spill over to risk in the...
Persistent link: https://www.econbiz.de/10014483035
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The Transmission of Euro Area Sovereign Risk Contagion : Evidence from Intraday CDS and Bond Markets
Ters, Kristyna - 2016
We examine the role of the CDS and bond markets during and before the recent euro area sovereign debt crisis as transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as well as for France and Germany. Our findings suggest...
Persistent link: https://www.econbiz.de/10012979715
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Euro interest rate swap yields : a GARCH analysis
Akram, Tanweer; Mamun, Khawaja Abdullah al - 2023
in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …
Persistent link: https://www.econbiz.de/10014438498
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Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads
Shaw, Charles - 2019
volatility regimes. Results indicate that ignoring the complex and dynamic dependence structure in favour of certain model …
Persistent link: https://www.econbiz.de/10012896045
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Another Look at Momentum Crashes : Momentum in the European Monetary Union
Grobys, Klaus - 2015
This paper studies the profitability of a selection of prominent momentum-based strategies in the European Monetary Union. In contrast to past examples documenting the lack of profitability of unconditional price momentum in the most recent decade, the current research finds that unconditional...
Persistent link: https://www.econbiz.de/10013028257
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A Stochastic Volatility Model with Realized Measures for Option Pricing
Bormetti, Giacomo - 2019
Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of … discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized … realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 …
Persistent link: https://www.econbiz.de/10012903114
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Return and volatility spillovers to industry returns : does EMU play a role?
Kaltenhäuser, Bernd - 2002
aggregate shocks. Volatility spillovers proved to be small and volatile. …
Persistent link: https://www.econbiz.de/10009767119
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Macro news and stock returns in the euro Area : a VAR-GARCH-in-means analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
follows. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility … has a significant impact on both stock returns and volatility; specifically, an increase in news volatility is always …
Persistent link: https://www.econbiz.de/10010383808
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Measuring return and volatility spillovers in Euro area financial markets
Louzis, Dimitrios P. - 2013
Persistent link: https://www.econbiz.de/10009783809
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Macro news and stock returns in the euro area : a VAR-GARCH-in-mean analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …
Persistent link: https://www.econbiz.de/10010399794