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A mean-difference test based on self-normalization for alternating regime index data sets

Kim, Bo Gyeong; Shin, Dong-wan - In: Economics letters 193 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012509216

Shocks from the sub-prime crisis to bond indices in the U.S., the EU and emerging markets via CDS indices

Fang, Hao; Shen, Chung-hua; Yau, Hwey-Yun; Chung, Chien-Ping - In: Romanian journal of economic forecasting 22 (2019) 3, pp. 5-24

Persistent link: https://www.econbiz.de/10012420426

The information content of monetary statistics for the Great Recession : evidence from Germany

Chen, Wenjuan; Nautz, Dieter - 2015

This paper introduces a Divisia monetary aggregate for Germany and explores its information content for the Great Recession. Divisia money and the corresponding simple sum aggregate are highly correlated in normal times but begin to diverge before the crisis. Out of sample forecast analysis and...

Persistent link: https://www.econbiz.de/10010529338

Information linkages among BRICS countries : empirical evidence from implied volatility indices

Sharma, Gagan Deep; Kayal, Parthajit; Pandey, Piyush - In: Journal of emerging market finance 18 (2019) 3, pp. 263-289

Persistent link: https://www.econbiz.de/10012163050

Measures of Volatility, Crises, Sentiment and the Role of U.S. ‘Fear’ Index (VIX) on Herding in BRICS (2007–2021)

Zhang, Hang; Giouvris, Evangelos - 2023

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our … crises. The U.S. ‘fear’ index has a short-lived, limited effect on CSAD/herding (during COVID only) for all countries except … China. In addition, Granger causality analysis indicates a two-way relationship between the U.S. ‘fear’ index and CSAD …

Persistent link: https://www.econbiz.de/10014262090