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Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data

Égert, Balázs; Kocenda, Evžen - William Davidson Institute, University of Michigan - 2007

We study comovements between three developed (France, Germany, the United Kingdom) and three emerging (the Czech Republic, Hungary and Poland) European stock markets. The novelty of our paper is that we apply the Dynamic Conditional Correlation GARCH models proposed by Engle (2002) to...

Persistent link: https://www.econbiz.de/10005784632

Foreign exchange option and returns based correlation forecasts: evaluation and two applications

Castrén, Olli; Mazzotta, Stefano - 2005

correlations. We then apply the correlation forecasts to two policyrelevant topics, to produce scenario analyses for the euro …

Persistent link: https://www.econbiz.de/10011604493

Speculation and Hedging in the Currency Futures Markets : Are They Informative to the Spot Exchange Rates

Tornell, Aaron - 2013

This paper presents an empirical analysis investigating the relationship between the futures trading activities of speculators and hedgers and the potential movements of major spot exchange rates. A set of trader position measures are employed as regression predictors, including the level and...

Persistent link: https://www.econbiz.de/10013086080

Nominal exchange rates EUR/GRD and EUR/ITL in the context of leaving the euro zone by Greece and Italy

Dąbrowska-Gruszczyńska, Katarzyna; Gruszczyński, Marcin - In: Journal of economics & management 43 (2021) 1, pp. 293-316

rates EUR/GRD and EUR/ITL during the euro zone membership period. Leaving the euro area one can expect the following market … rates: EUR/GRD 600 and EUR/ITL 1850. That would mean 75% depreciation and 5% appreciation to the current euro parities EUR …

Persistent link: https://www.econbiz.de/10013166669

Foreign Exchange Option and Returns Based Correlation Forecasts : Evaluation and Two Applications

Castren, Olli; Mazzotta, Stefano - 2021

correlations. We then apply the correlation forecasts to two policyrelevant topics, to produce scenario analyses for the euro …

Persistent link: https://www.econbiz.de/10013318724

The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited

Neely, Christopher; Lahaye, Jerome - Federal Reserve Bank of St. Louis - 2014

We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990; Melvin and Peiers Melvin, 2003; Cai, Howorka, and Wongswan, 2008). We show that recently developed estimators have very different implications for the impact of jumps on exchange rate...

Persistent link: https://www.econbiz.de/10010951615

Sovereign bond market integration: the euro, trading platforms and globalisation

Wolff, Guntram B.; Schulz, Alexander - Directorate-General Economic and Financial Affairs, … - 2008

Study on sovereign bond market integration and the role of the euro, trading platforms and globalisation. We … gradually in the course of the last 15 years in EMU countries, as well as the UK, the US and the German Lander. The euro, as … attributed to electronic trading platforms becoming functional. The change-over from national currencies to the euro can not …

Persistent link: https://www.econbiz.de/10008577459

An Analysis of the Dynamic Relationships Between the South African Equity Market and Major World Equity Markets

Lamba, Asjeet S.; Otchere, Isaac - In: Multinational Finance Journal 5 (2001) 3, pp. 201-224

This paper provides the first comprehensive analysis of the dynamic relationships between the South African and major world equity markets during May 1988 - May 2000. Using a multivariate cointegration framework and vector error-correction modeling the results indicate that there is a long-run...

Persistent link: https://www.econbiz.de/10010937075

Prospects for International Portfolio Diversification: Linkages Between the Ghanaian Equity Market and the World's Major Markets

Alhassan, Abdulsalam - In: The African Finance Journal 8 (2006) 1, pp. 1-13

Despite increased co-movements in stock performance among developed economies, international portfolio investors have failed to diversify into African stock markets. Is the persistence of home bias in equities due to a possibility that African markets move in tandem with the rest of the world?...

Persistent link: https://www.econbiz.de/10008503541

Co-Integration between Mortgage Markets in the Monetary Union: 1995–2008

Andión, Carmen López; Sanfiz, José Manuel Maside; … - In: Czech Journal of Economics and Finance (Finance a uver) 60 (2010) 1, pp. 40-57

This study provides evidence on the level of integration within the European Monetary Union mortgage markets between 1995 and 2008. The relationships between national mortgage markets are analyzed and an assessment is made of the extent to which these co-integrate with one another and with the...

Persistent link: https://www.econbiz.de/10008583327