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Financial Crisis and Changes in Determinants of Risk and Return : An Empirical Investigation of an Emerging Market (ISE)
Muradoglu, Yaz Gulnur - 2016
the paper are twofold. First, using a GARCH-M framework, risk and return are jointly modeled by using macroeconomic …-economic variables, a relevant information set for emerging economies, that is often overlooked in various GARCH specifications. Second …, determinants of risk and return are investigated before during and after a major financial crisis at ISE. We show that, both the …
Persistent link: https://www.econbiz.de/10013004232
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Interconnectedness and Contagion Analysis : A Practical Framework
Bricco, Jana Gieck - 2019
The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of …
Persistent link: https://www.econbiz.de/10012858959
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Forecasting the yield curve with linear factor models
Matsumura, Marco; Moreira, Ajax; Vicente, José - In: International Review of Financial Analysis 20 (2011) 5, pp. 237-243
In this work we compare the interest rate forecasting performance of a broad class of linear models. The models are estimated through a MCMC procedure with data from the US and Brazilian markets. We show that a simple parametric specification has the best predictive power, but it does not...
Persistent link: https://www.econbiz.de/10010577779
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Bond Losses and Systemic Risk
Barbosa, Klenio; De Silva, Dakshina G.; Yang, Liyu; … - 2021
This paper documents the existence of primary dealers’ losses in Treasury bond markets and investigates how these losses a¤ect dealers’ market value. Using a novel data set that tracks more than 2,350 primary-to-secondary transactions, we find that bond losses for primary dealers are...
Persistent link: https://www.econbiz.de/10013246144
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The Reduction of Systemic Risk in the United States Financial System
Scott, Hal S. - 2010
The central problem for financial regulation is reducing systemic risk. Systemic risk is the risk that the failure of … paper addresses the five most important policies for dealing with systemic risk: the imposition of capital requirements, the … related limitations on bank size would not reduce systemic risk …
Persistent link: https://www.econbiz.de/10013143703
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How Integrated are Regional Green Equity Markets? Evidence from a Cross-Quantilogram Approach
Pham, Linh - 2019
This paper investigates the integration among sub-sectors within the environmentally friendly stock market and the integration between these sub-sectors and other financial asset classes. Using the recently developed cross-quantilogram framework, we contribute to the literature by quantifying...
Persistent link: https://www.econbiz.de/10012859258
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Cryptocurrency volatility markets
Woebbeking, Fabian - In: Digital Finance 3 (2021) 3-4, pp. 273-298
correction model can be used as an indicator for market implied tail-risk. Comparing our CVX to existing volatility benchmarks …
Persistent link: https://www.econbiz.de/10014501763
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A Bayesian Approach to Backtest Overfitting
Witzany, Jiří - 2017
Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical technique to prevent model overfitting such as out-sample back-testing turns out to be unreliable in the situation when selection is based on...
Persistent link: https://www.econbiz.de/10011787307
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Price Discovery in Bitcoin : The Impact of Unregulated Markets
Alexander, Carol - 2020
We analyse minute-level multi-dimensional information flows within and between bitcoin spot and derivatives. We show that perpetual swaps and futures traded on the unregulated exchanges Huobi, OKEx and BitMEX are much the strongest instruments for bitcoin price discovery and we examine potential...
Persistent link: https://www.econbiz.de/10012836055
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Public Information Releases, Private Information Arrival, and Volatility in the Foreign Exchange Market
DeGennaro, Ramon P. - 2003
This paper estimates the impact of market activity and news on the volatility of returns in the exchange market for Japanese Yen and US dollars. We examine the effects of news on volatility before, during and after news arrival, using three categories of news. Market activity is proxied by quote...
Persistent link: https://www.econbiz.de/10012786760