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Risk, monetary policy and asset prices in a global world

Bekaert, Geert; Hoerova, Marie; Xu, Nancy R. - 2023

We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating between "traditional" monetary policy and communication events, each decomposed into "pure" and information shocks. Communication shocks from the US spill over to risk in the...

Persistent link: https://www.econbiz.de/10014483035

Equity market contagion in return volatility during Euro Zone and global financial crises : evidence from FIMACH model

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; … - In: Journal of risk and financial management : JRFM 12 (2019) 2/94, pp. 1-18

volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including … of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the …

Persistent link: https://www.econbiz.de/10012022043

The Transmission of Euro Area Sovereign Risk Contagion : Evidence from Intraday CDS and Bond Markets

Ters, Kristyna - 2016

We examine the role of the CDS and bond markets during and before the recent euro area sovereign debt crisis as transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as well as for France and Germany. Our findings suggest...

Persistent link: https://www.econbiz.de/10012979715

Euro interest rate swap yields : a GARCH analysis

Akram, Tanweer; Mamun, Khawaja Abdullah al - 2023

in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …

Persistent link: https://www.econbiz.de/10014438498

Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads

Shaw, Charles - 2019

volatility regimes. Results indicate that ignoring the complex and dynamic dependence structure in favour of certain model …

Persistent link: https://www.econbiz.de/10012896045

Another Look at Momentum Crashes : Momentum in the European Monetary Union

Grobys, Klaus - 2015

This paper studies the profitability of a selection of prominent momentum-based strategies in the European Monetary Union. In contrast to past examples documenting the lack of profitability of unconditional price momentum in the most recent decade, the current research finds that unconditional...

Persistent link: https://www.econbiz.de/10013028257

A Stochastic Volatility Model with Realized Measures for Option Pricing

Bormetti, Giacomo - 2019

Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of … discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized … realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 …

Persistent link: https://www.econbiz.de/10012903114