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A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager

Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006

This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign's debt manager. In particular, it examines duration, convexity, M-square, skewness, kurtosis, and VaR statistics as...

Persistent link: https://www.econbiz.de/10005825661

Macrofinance Model of the Czech Economy; Asset Allocation Perspective

International Monetary Fund (IMF); International … - 2012

The paper developes a VAR macrofinance model of the Czech economy. It shows that yield misalignments from the yields implied by the macrofinance model partially determine subsequent yield changes over three to nine months. These yield misalignments tend to persist for a number of months. This...

Persistent link: https://www.econbiz.de/10011242415

Common factors governing VDAX movements and the maximum loss

Härdle, Wolfgang; Schmidt, Peter - 2000

Persistent link: https://www.econbiz.de/10001555314

International evidence on market linkages after the 2008 stock market crash

Meriç, Gülser; Lentz, Christine; Schmeltz, Wayne; … - In: The international journal of business and finance … 6 (2012) 4, pp. 45-57

Persistent link: https://www.econbiz.de/10009633850

Testing in high-dimensional spiked models

Johnstone, Iain M.; Onatski, Alexei - 2018

Persistent link: https://www.econbiz.de/10012667588

Limitations of portfolio diversification through fat tails of the return Distributions : some empirical evidence

Eom, Cheoljun; Kaizoji, Taisei; Livan, Giacomo; Scalas, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012821302

Level-slope-curvature : fact or artefact?

Lord, Roger; Pelsser, Antoon André Jean - 2005

conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven … that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our … conjecture that the order present in correlation matrices causes slope. …

Persistent link: https://www.econbiz.de/10011346478

Global portfolio diversification with emerging stock markets

Meriç, İlhan; Ding, Jie; Meriç, Gülser - In: Emerging Markets Journal : EMAJ 6 (2016) 1, pp. 59-62

Persistent link: https://www.econbiz.de/10011493302

Using sentiment to predict GDP growth and stock returns

Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10009647230

World Equity Markets: A New Approach for Segmentation (in English)

Curto, José Dias; Pinto, José Castro; Fernandes, Joao … - In: Czech Journal of Economics and Finance (Finance a uver) 56 (2006) 7-8, pp. 344-360

This paper is an assessment of international equity-market integration and uses an innovative approach to segment equity markets into related geographic areas. The authors´ focus is on the relationships among the returns of the dominant national equity indexes by continent. To understand how...

Persistent link: https://www.econbiz.de/10005673587