This paper poses a multivariate test for contagion that distinguishes between vulnerability, positive and negative contagion. The model proides a time series of contagion with which the existence, severity and significance of crisis periods can be endogenously determined. Eleven stock markets...

Since last decade or so capital market of India has shown tremendous growth among leading emerging and developed capital markets in the world. Indian capital market has been really boosted up after the reforms of early 1990s, which opened the door for the international investments. The market is...

In establishing the foundation of their investment process, global equity investors typically adopt a framework along geographic and/or industry dimensions. The chosen framework is then applied to the whole investment process including alpha generation, portfolio construction, and risk...

In this paper, the relation of asymmetric conditional volatility to market agents' information perception ability is built and positively tested. Liquidity dry-ups during extreme market conditions, that, due to investors' risk aversion, are more pronounced during negative than positive news...

The paper documents the specification and estimation of an econometric model of the Brazilian stock market (Bovespa) using a GARCH(1,1) model. We used quarterly data for an estimation period spanning from January 1995 to December 2003. The empirical results show that GDP growth, exchange-rate...

This presentation reconsiders Knight's Risk, Uncertainty, and Profit of 1921 in light of the emergence of the World Wide Web in early-1990s, Emanuel Derman's pioneering work in Model Risk Management at Goldman Sachs in mid-1990s, backlash against quantitative models in aftermath of the Global...

Standard price discovery measures, particularly information shares, rely on the concept of co-integration for non-stationary time series. For the definition of information shares, the existence of a permanent impact of innovations is crucial, as these shares measure the relative contribution of...

This collection of papers analyzes the versatility and predictive power of survey expectations data in asset pricing and macroeconomic forecasting. The first paper, Using Sentiment Surveys to Predict GDP Growth and Stock Returns sheds new light on the question of whether or not sentiment...

For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...

In establishing the foundation for their investment process, investors typically set up the investment framework first by dividing their investment universes into different buckets along the combinations of multiple sensible dimensions such as geography and industry. As the framework is applied...