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Gondolatok a pénzvilág uralmáról, a pénzügyi rendszer megnövekedett szerepéről

Pete, Péter - In: Közgazdasági Szemle (Economic Review - monthly of the … XLVI (1999) 5, pp. 389-402

A pénzügyi szektor elmúlt évtizedekben tapasztalt robbanásszerű fejlődése sokakban kelt aggodalmat. A szenvedélyes vitákban elfoglalt álláspontokat azonban gyakran mögöttes előítéletek vagy félreértések táplálják. E cikk a pénzügyi rendszer szerepének növekedését az...

Persistent link: https://www.econbiz.de/10010962773

A jegybanki devizapiaci intervenció hatékonysága. Nemzetközi tapasztalatok és elméleti megfontolások

Kiss M., Norbert - In: Közgazdasági Szemle (Economic Review - monthly of the … LII (2005) 11, pp. 846-872

Az utóbbi időben a főbb jegybankok intervenciós tevékenysége csökkent ugyan, de számos feltörekvő, illetve inflációs célt követő ország esetében az intervenció továbbra is aktív jegybanki eszköz maradt. A tanulmány a jegybanki devizapiaci intervenció hatékonyságával...

Persistent link: https://www.econbiz.de/10010962887

High dimensionality in finance: a graph-theory analysis

Raynaud, Franck; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2012

Persistent link: https://www.econbiz.de/10010960549

Market fragmentation: assessments and prospects?

Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2014

This paper provides an overview of the knowledge available to date on market fragmentation and its consequences, with a specific focus on the European experience. Since the implementation of MiFID1 on 1 November 2007, market fragmentation has considerably increased in European stock markets...

Persistent link: https://www.econbiz.de/10010960559

Market Fragmentation and Market Quality: The European Experience

Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2014

This book chapter provides an overview of market fragmentation in Europe since the first implementation of the Markets in Financial Instruments Directive (MiFID) on 1 November 2007. It makes a brief literature review on the consequences of lit and dark fragmentation for liquidity. It presents an...

Persistent link: https://www.econbiz.de/10010960572

Empirical Investigation of Herding Behavior in East Asian Stock Markets Toward the U.S. Market

Yang, Shih-Jui; Hsu, Ai-Chi; Lai, Show-Yen; Lee, … - In: The International Journal of Business and Finance Research 9 (2015) 1, pp. 19-32

This paper examines the shift of dominance of the American stock market. We also observe herding behavior changes of major Asia Pacific regions towards the American market in the wake of major events that affected financial markets. Events examined include the Asian financial crisis, Internet...

Persistent link: https://www.econbiz.de/10010961448

DYNAMIC CORRELATIONS, ESTIMATION RISK, AND PORFOLIO MANAGEMENT DURING THE FINANCIAL CRISIS

García-Álvarez, Luis; Luger, Richard - Centro de Estudios Monetarios y Financieros (CEMFI) - 2011

We evaluate alternative multivariate models of dynamic correlations in terms of realized out-of-sample Sharpe ratios for an active portfolio manager who rebalances a portfolio of international equities on a daily basis. The evaluation period covers the recent financial crisis which was marked by...

Persistent link: https://www.econbiz.de/10009370567

Are oil, gold and the euro inter-related? time series and neural network analysis

Malliaris, A.G.; Malliaris, Mary - Volkswirtschaftliche Fakultät, … - 2011

This paper investigates inter-relationships among the price behavior of oil, gold and the euro using time series and … in terms of the euro. Certain hypotheses are formulated in this paper and time series and neural network methodologies … are employed to test these hypotheses. We find that the markets for oil, gold and the euro are efficient but have limited …

Persistent link: https://www.econbiz.de/10009370818

Daily CDS pricing in emerging markets before and during the global financial crisis

Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - Volkswirtschaft Abteilung, Fachbereich … - 2011

In this paper, we study the determinants of daily spreads for emerging market sovereign credit default swaps (CDS) over the period April 2002–December 2011. Using GARCH models, we find, first, that daily CDS spreads for emerging market sovereigns are more related to global and regional risk...

Persistent link: https://www.econbiz.de/10009371452

Predicting Severe Simultaneous Recessions Using Yield Spreads as Leading Indicators

Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2011

Severe simultaneous recessions are de?ned to occur when at least half of the countries under investigation (Australia, Canada, Germany, Japan, United Kingdom, and United States) are in recession simultaneously. I pose two new research questions that extend upon stylized facts for US recessions....

Persistent link: https://www.econbiz.de/10009371455