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In this paper, we price covariance and correlation swaps for financial markets with Markov-modulated volatilities. As …
Persistent link: https://www.econbiz.de/10012975140
's to a much stronger correlation between the financial and commodity markets, sparking a heated debate on the commodity … impact of speculative aspects alters the dynamic conditional correlation path between commodities and the financial markets …
Persistent link: https://www.econbiz.de/10013003293
Current understanding holds that financial contagion is driven mainly by system-wide interconnectedness of institutions. A distinction has been made between systematic and idiosyncratic channels of contagion, with shocks transmitted through the latter expected to be substantially more likely to...
Persistent link: https://www.econbiz.de/10012853236
) the standard unconditional correlation – on average – captures equity market integration rather well and performs – in the …
Persistent link: https://www.econbiz.de/10013019522
This paper studies the relationship between financial integration and the correlation of GDP growth in sub … considering simple variables of growth correlation, we exploit the multiple dimensions of business cycle synchronization first by …
Persistent link: https://www.econbiz.de/10013019981
(marginal expected shortfall) and CoVaR. To compute both measures we employ Engle's dynamic conditional correlation model. Our …
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negatives in however way they can; but to better understand its correlation with respect to commodities, we take a look at two … commodities, Gold and Energy product (Crude) and assess the correlation that exist between these two commodities …
Persistent link: https://www.econbiz.de/10012916649