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An econometric analysis of emission trading allowances

Paolella, Marc S. (contributor); Taschini, Luca (contributor) - 2006

World power and gas markets have a natural relationship with global tradable carbon permits markets, including the U.S. Clean Air Act Amendments and the EU Emissions Trading Scheme, the latter officially launched in January 2005. Electric utilities operate their power plants based in part on the...

Persistent link: https://www.econbiz.de/10003394343

Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets

Ardliansyah, Rifqi - 2014

The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

Persistent link: https://www.econbiz.de/10013065264

Multi-factor asset-pricing models under Markov regime switches : evidence from the Chinese stock market

Chen, Jieting; Kawaguchi, Yuichiro - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-19

This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a persistent bear market and a bull market. In...

Persistent link: https://www.econbiz.de/10011883257

Political instability and stock market returns : evidence from OECD countries

Asteriou, Dimitrios; Sarantidis, Antonio - In: Economics and Business Letters : EBL 5 (2016) 4, pp. 113-124

Persistent link: https://www.econbiz.de/10011715994

Modeling and forecasting persistent financial durations

Zikes, Filip; Baruník, Jozef; Shenai, Nikhil - 2015

This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility … model of Calvet and Fisher (2004) to the duration setting. Although the MSMD process is exponential ß-mixing as we show in … asymptotic normality for general MSMD specifications. We show that the Whittle estimation is a computationally simple and fast …

Persistent link: https://www.econbiz.de/10010499581

The short duration premium

Gonçalves, Andrei S. - In: Journal of financial economics 141 (2021) 3, pp. 919-945

Persistent link: https://www.econbiz.de/10012873075

The response of stock market volatility to futures-based measures of monetary policy shocks

Gospodinov, Nikolaj; Jamali, Ibrahim - 2014

's effect on fundamentals. The estimation results from a bivariate VAR-GARCH model suggest that the Fed does not respond to the …

Persistent link: https://www.econbiz.de/10010395968

Price formation on the EuroMTS platform

Caporale, Guglielmo Maria; Girardi, Alessandro - 2010

This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...

Persistent link: https://www.econbiz.de/10003937257

Tell-tale tails : a data driven approach to estimate unique market information shares

Grammig, Joachim; Peter, Franziska J. - 2010

The trading of securities on multiple markets raises the question of each market's share in the discovery of the informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely determine these contributions. Thereby we resolve the...

Persistent link: https://www.econbiz.de/10008666526

Price formation on the EuroMTS platform

Caporale, Guglielmo Maria; Girardi, Alessandro - 2010

Persistent link: https://www.econbiz.de/10003934756