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Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 1, pp. 137-170

Persistent link: https://www.econbiz.de/10011929414

Herding, information cascades and volatility spillovers in futures markets

McAleer, Michael; Radalj, Kim - 2013

Persistent link: https://www.econbiz.de/10009784945

Common Information in Carry Trade Risk Factors

Byrne, Joseph - 2016

and the downside stock market excess return. Our results also suggest that stock market risk is somewhat segmented from FX … market risk …

Persistent link: https://www.econbiz.de/10012978293

International capital flow pressures and global factors

Goldberg, Linda S.; Krogstrup, Signe - 2023

The risk sensitivity of international capital flow pressures is explored using a new Exchange Market Pressure index … masked by foreign exchange interventions and policy rate adjustments. The sensitivity of capital flow pressures to risk … between normal times and extreme stress events. Across countries, risk sensitivities and safe-haven status are associated with …

Persistent link: https://www.econbiz.de/10013548958

Short-Run Pain, Long-Run Gain : The Effects of Financial Liberalization

Kaminsky, Graciela; Schmukler, Sergio L. - 2021

We examine the short- and long-run effects of financial liberalization on capital markets. To do so, we construct a new comprehensive chronology of financial liberalization in 28 mature and emerging market economies since 1973. We also construct an algorithm to identify booms and busts in stock...

Persistent link: https://www.econbiz.de/10013318025