This econometric application focuses on the dynamic analysis of stock prices of BNP Paribas (BNP), Carrefour(CAR), Engie (ENG) and Societe Generale (SoG) which are all companies listed on the French Stock Market by comparing them with the CAC40 index and further analysing these firms in relation...

In response to debt crises, policy makers often feature Collective Action Clauses (CACs) in sovereign bonds among the pillars of international financial architecture. However, the content of official pronouncements about CACs suggests that CACs are more like doorknobs: a process tool with...

The risk return relationship is analysed in bivariate models for return and realised variance (RV) series. Based on daily time series from 21 international market indices for more than 13 years (January 2000 to February 2013), the empirical findings support the arguments of risk return tradeoff,...

Volatility is the measure of the dispersion from the actual returns. And volatility index (VIX) indicates the expected fluctuations in the underlying index for the near term. Both terms are very important in portfolio management as they capture the market risk and investor's behavior. Therefore,...