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Macroeconomic variables and stock market: US review

Sirucek, Martin - Volkswirtschaftliche Fakultät, … - 2012

This focus of this paper are the effect, implication, impact and realtionship between selected macroeconomic variables and wider US indices S&P 500 and industrial Dow Jones Industrial Average (DJIA). Considered are inflation, interest rates, money supply, producer price index, industrial...

Persistent link: https://www.econbiz.de/10011107956

The leverage effect puzzle: Disentangling sources of bias at high frequency

Aït-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - In: Journal of Financial Economics 109 (2013) 1, pp. 224-249

The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility …. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily … nearly zero correlation for most assets tested, despite the many economic reasons for expecting the estimated correlation to …

Persistent link: https://www.econbiz.de/10011039264

Identifying the effects of co-authorship networks on the performance of scholars: A correlation and regression analysis of performance measures and social network analysis measures

Abbasi, Alireza; Altmann, Jörn; Hossain, Liaquat - In: Journal of Informetrics 5 (2011) 4, pp. 594-607

In this study, we develop a theoretical model based on social network theories and analytical methods for exploring collaboration (co-authorship) networks of scholars. We use measures from social network analysis (SNA) (i.e., normalized degree centrality, normalized closeness centrality,...

Persistent link: https://www.econbiz.de/10011039341

Correlation between variables subject to an order restriction, with application to scientometric indices

García-Pérez, Miguel A.; Núñez-Antón, Vicente - In: Journal of Informetrics 7 (2013) 2, pp. 542-554

Variables subject to an order restriction, for instance Y≤X, have a bivariate distribution over a non-rectangular joint domain that entails a non-null and potentially large structural relation even if the variables show no association (in the sense that particular ranges of values of X do not...

Persistent link: https://www.econbiz.de/10011039489

Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets

Philippas, Dionisis; Siriopoulos, Costas - In: Journal of International Financial Markets, … 27 (2013) C, pp. 161-176

We investigate the contagion appetite generated by the current debt crisis in Greece by focusing on six European Monetary Union bond markets, namely the Netherlands, Germany, Italy, Spain, Portugal and France. We use a framework that contains two procedures, a spillover regime/switching model...

Persistent link: https://www.econbiz.de/10011041502

Stressing correlations and volatilities — A consistent modeling approach

Becker, Christoph; Schmidt, Wolfgang M. - In: Journal of Empirical Finance 21 (2013) C, pp. 174-194

We propose a new approach to the definition of stress scenarios for volatilities and correlations. Correlations and volatilities depend on a common market factor, which is the key to stressing them in a consistent and intuitive way. Our approach is based on a new asset price model where...

Persistent link: https://www.econbiz.de/10011042126

Correlation Analysis of the quality of medical quality economic and financial management using correlation coefficients based on nonparametric data

Iacob, Constanta; Constantin, Camelia - Volkswirtschaftliche Fakultät, … - 2014

economic efficiency and technical competence for all hospitals analyzed we see that there is a correlation between these values …

Persistent link: https://www.econbiz.de/10011108649

Monitoring of Credit Risk through the Cycle: Risk Indicators

Yashkir, Olga; Yashkir, Yuriy - Volkswirtschaftliche Fakultät, … - 2013

correlation between CRI and a number of defaults through several business cycles. The new model for the simulation of the annual …

Persistent link: https://www.econbiz.de/10011108672

Inflación Internacional Relevante para Costa Rica

Leon, Jorge; Segura, Carlos; Vasquez, Jose Pablo - Volkswirtschaftliche Fakultät, … - 2011

This document analyzes different measures of international inflation and their influence on the domestic inflation. We found that these measurements have a statistical significant effect on the behavior of domestic inflation. Therefore the evolution of the international inflation must be...

Persistent link: https://www.econbiz.de/10011109234

Are South East Europe stock markets integrated with regional and global stock markets?

Guidi, Francesco; Ugur, Mehmet - Volkswirtschaftliche Fakultät, … - 2012

This paper analyses whether stock markets of South East Europe (SEE) have become more integrated with regional and global stock markets during 2000s. Using a variety of co integration methodologies we show that SEE stock markets have no long-run relationship with their mature counterparts. This...

Persistent link: https://www.econbiz.de/10011109681