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Modeling international stock market contagion using multivariate fractionally integrated APARCH approach

Mighri, Zouheir; Mansouri, Faysal - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-25

plunging stock market in the US, in the aftermath of global financial crisis (2007 - 2009), exerts contagion effects on … terms, and time-varying correlations. The empirical analysis shows a contagion effect for Brazil and Mexico during the early …

Persistent link: https://www.econbiz.de/10011559137

Effect of catastrophic disaster in financial market contagion

Siddikee, Md. Noman; Rahman, Mohammad Mafizur - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-13

The study examined the contagion effect of financial market volatility from Australian capital market to Indian, New … residuals after the catastrophes. Finally, Fishers r to z transformation was used for identifying contagion. After Victoria … respective z > +1.96 validates contagion. The adjusted correlation coefficient of Australia with China and Japan increased after …

Persistent link: https://www.econbiz.de/10011988709

Dynamic currency linkages between select emerging market economies: An empirical study

Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-31

and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and …

Persistent link: https://www.econbiz.de/10014001605

Europe Needs More than a Capital Markets Union: Focus on the Integration of Euro Area Sovereign Debt Markets

Breitenfellner, Andreas; Schuberth, Helene - In: Vierteljahrshefte zur Wirtschaftsforschung 86 (2017) 2, pp. 9-20

With a view to establishing a Capital Markets Union (CMU), efforts to integrate (private) capital markets and private risk-sharing in the European Union are underway. However, the single (capital) market will be burdened by a perennial potential threat to sovereign bond market stability in the...

Persistent link: https://www.econbiz.de/10012054624

Internationale Finanzmarktintegration stärkt Abwehrkräfte einer Volkswirtschaft gegen Folgen von Naturkatastrophen

Bremus, Franziska; Rieth, Malte - In: DIW Wochenbericht 90 (2023) 11, pp. 127-134

Aufgrund des Klimawandels kommt es häufiger zu Stürmen, Überschwemmungen und anderen Naturkatastrophen. Die vorliegende empirische Analyse zeigt, dass eine bessere Integration von Ländern in internationale Finanzmärkte die gesamtwirtschaftlichen Abwehrkräfte gegen solche Schocks stärkt....

Persistent link: https://www.econbiz.de/10014290013

Zinsspreads auf europäische Anleihen: Finanzmärkte verstärken Druck zu mehr Haushaltsdisziplin

Bernoth, Kerstin; Erdogan, Burcu - In: DIW Wochenbericht 77 (2010) 51/52, pp. 12-18

Der seit der Finanzkrise steile Anstieg der Zinsdifferenzen zwischen europäischen Staatsanleihen bringt mehrere Mitgliedsländer der europäischen Währungsunion (EWU) unter erhebliche Refinanzierungsschwierigkeiten und wirft die Frage nach den Ursachen auf. Dieser Bericht fasst die Ergebnisse...

Persistent link: https://www.econbiz.de/10011602283

Zinsspreads auf europäische Staatsanleihen: Implikationen und Lehren aus der europäischen Schuldenkrise

Bernoth, Kerstin - In: Vierteljahrshefte zur Wirtschaftsforschung 79 (2010) 4, pp. 103-118

Diese Studie untersucht die zeitvariierenden Faktoren, welche die Zinsspreads auf Europäische Staatsanleihen zwischen Q1/1999 und Q1/2010 beeinflusst haben. Vor der Finanzkrise, welche Ende 2007 ihren Anfang nahm, haben Finanzmärkte Kreditrisiken nur sehr begrenzt wahrgenommen und...

Persistent link: https://www.econbiz.de/10010377952

La muestra de empresas en los modelos de predicción del fracaso: Influencia en los resultados de clasificación

García-Gallego, Ana; Mures-Quintana, María-Jesús - In: Revista de Métodos Cuantitativos para la Economía y … 15 (2013), pp. 131-150

This paper focuses on the development of both failure prediction models on a paired sample and a random sample of small and medium-sized firms with head offices located in the region of Castilla y León (Spain), in order to prove if the predictive power of the developed models is affected by the...

Persistent link: https://www.econbiz.de/10011307191

Modelling the Development of the Integration Processes Direction in the Baking Industry

Kublikova, Tetyana; Stupak, Svetlana - In: CES Working Papers 5 (2013) 3, pp. 398-404

The paper presents the characteristics of the economic interaction between organizations and enterprises within the system of cluster type and the direction of their investment and innovation transformation through the implementation of the integration processes in the bakery industry.

Persistent link: https://www.econbiz.de/10012017087

Crypto exchanges and credit risk: Modeling and forecasting the probability of closure

Fantazzini, Dean; Calabrese, Raffaella - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-23

While there is increasing interest in crypto assets, the credit risk of these exchanges is still relatively unexplored. To fill this gap, we considered a unique dataset of 144 exchanges, active from the first quarter of 2018 to the first quarter of 2021. We analyzed the determinants surrounding...

Persistent link: https://www.econbiz.de/10013201199

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