We use a Smooth Transition Conditional Correlation GARCH (STCC-GARCH) model applied to the euro area monetary policy rates and sovereign yields of Italy, Spain and Germany at 5-year maturity to estimate the threshold level of the signals above which the sovereign bond market moves to a crisis...

Cross-periodograms can be used to study a multivariate spatial process observed on a lattice. For spatial data, it is often appropriate to study asymptotic properties of statistical procedures under fixed-domain asymptotics in which the number of observations increases in a fixed region while...

Purpose – Since 2008, the German open-ended real estate fund (GOEREF) industry has experienced a critical phase of suspensions of redemption of fund shares, announced fund terminations and, eventually, introduction of a new regulation. With assets under the management of over 80 billion,...