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Interaction in euro area sovereign bond markets during the financial crisis
Cronin, David - In: Intereconomics 49 (2014) 4, pp. 212-220
Applying a t-DCC-GARCH model to daily spread data, four phases of interaction in euro area sovereign bond markets are identified between January 2008 and June 2013. The initial period (January-October 2008) is followed by a general rise in pairwise correlation values between November 2008 and...
Persistent link: https://www.econbiz.de/10011530751
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Zeitabhängige Volatilität und instationäre Zeitreihen: Zum Nobelpreis an Robert F. Engle und Clive W. J. Granger
Hassler, Uwe - In: Wirtschaftsdienst 83 (2003) 12, pp. 811-816
Mit den diesjährigen Trägern des Nobelpreises für Wirtschaft, Robert. F. Engle und Clive W.J. Granger, werden zwei Vertreter der Zeitreihenökonometrie geehrt. Wie hat sich durch ihr Werk die statistische Analyse ökonomischer Zeitreihen verändert? Wie wird heute Volatilität auf...
Persistent link: https://www.econbiz.de/10010302889
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Asymmetry and Spillover Effects in the North American Equity Markets
Pollard, Stephen K.; Sapra, Sunil K.; Canarella, Giorgio - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-12, pp. 1-52
In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger...
Persistent link: https://www.econbiz.de/10010295295
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The information content in a volatility index for Spain
Gonzalez-Perez, Maria T.; Novales, Alfonso - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 2, pp. 185-216
A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market.We use a public data set of daily option prices to compute this index and showthat daily changes in VIBEXNEW display a negative, tight contemporaneous...
Persistent link: https://www.econbiz.de/10010333080
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The information content and redistribution effects of state and municipal rating changes in Mexico
Mendoza-Velázquez, Alfonso - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-38, pp. 1-21
The fiscal and financial reforms carried out in Mexico in 2000 have encouraged a widespread presence of rating agencies and have allowed several States and Municipalities to raise funds through bond offerings in the capital market. Any local government in Mexico intending to access credit and...
Persistent link: https://www.econbiz.de/10010332965
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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
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Early and Late Reformers: Long-Term Trends of Public Expenditure in 21 OECD Countries
Osterkamp, Rigmar - In: CESifo DICE Report 01 (2003) 1, pp. 46-47
Persistent link: https://www.econbiz.de/10011696424
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Tail dependence in emerging ASEAN-6 equity markets: Empirical evidence from quantitative approaches
In: Financial Innovation 6 (2020) 1, pp. 1-26
determining the dependence structure in ASEAN stock markets. Drawing on the emerging ASEAN equity returns of six countries from … to explain these co-movements. Among all research return pairs, the dependence between Vietnam and other ASEAN equity … indices has the lowest value. Meanwhile, all couples show left- and right- tail dependence by each pair for pre- and post …
Persistent link: https://www.econbiz.de/10012602841
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Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models
Theodossiou, Panayiotis; McDonald, James B.; Hansen, … - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-7, pp. 1-20
conventional regression procedures, such as ordinary least squares estimation, when modeling non-normal errors with skewness and …
Persistent link: https://www.econbiz.de/10010295290
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Impact of democratic/non-democratic regimes on foreign direct investment in Pakistan: Pre and post September 11, 2001 scenarios
Nawaz, Tahir; Khan, Masood Amjad; Shah, Muhammad Akbar Ali - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 67-82
In this study the impact of democratic and non-democratic regime (pre and post September 11, 2001seenarios) on foreign direct investment in Pakistan have been investigated using quarterly data over the period of 1976Q1 to 2006Q4. Stepwise regression, Box-Jenkins methodologies have been applied...
Persistent link: https://www.econbiz.de/10011938300