We develop a framework that allows a multivariate system of long memory processes to be conditional on specific regimes to investigate the effects of credit rating agencies' (CRAs) sovereign credit re-ratings on European stock and currency return distributions over the period from 1996 to 2012....

We investigate whether political similarities between credit rating agencies (CRAs) and bond issuers impact credit rating quality. We find that a higher degree of similarity of political affiliation leads to a decrease in timeliness and accuracy of downgrades prior to default events. Our finding...

The long-term and sustainable development focuses of green bond together with its increasing popularity urges to get better understandings on its hedging effects against market risks. Our study investigates whether and how green bond can act as a hedging instrument against the implied...

This paper investigates price volatility and spillover effects in the Nordic electricity wholesale markets, comprising Sweden, Finland, Denmark, and Norway. Utilizing both the Time-Varying Parameter Vector Autoregressive (TVP-VAR) and Rolling Window-based VAR (RW-VAR) approaches, we analyze the...

This paper investigates price volatility and spillover effects in the Nordic electricity wholesale markets, comprising Sweden, Finland, Denmark, and Norway. Utilizing both the Time-Varying Parameter Vector Autoregressive (TVP-VAR) and Rolling Window-based VAR (RW-VAR) approaches, we analyze the...

This paper explores the intricate relationship between oil prices and airline stock returns, considering different time horizons and market conditions. Utilizing the quantile spectral coherency and quantile frequency connectedness model, we examine a comprehensive dataset spanning notable...

The fierce aerospace competition between superpowers results in a strong public attention to satellite launch events in the U.S. Under limited attentional resources, U.S. investors allocate their attention more to market-level shocks than firm-specific shocks, making stock returns to comove more...

This paper analyses the impact of mortgagee income on mortgage credit risk. We find that level and sensitivity of default risk are greater for low borrower incomes. The observation is explained by thinner financial buffers such as discretionary income, funding ability and liquid assets and...

We develop a generalized impulse response function for the fractionally integrated vector autoregressive (FIVAR) model using the Pesaran and Shin (1998) approach. Our method is different from the methodology shown in Chung (2001) since it does not require us to orthogonalize the error vector...