Search Results - subject:"macro fundamentals"

Multi-asset value payoff: Is recent underperformance cyclical?

Tokat-Acikel, Yesim; Aiolfi, Marco; Jin, Yiwen - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-17

Recent value factor underperformance has called into question whether the value factor payoff is cyclically low, or if there are more structural challenges. We use a new approach to explore a link between the well-known macroeconomic exposures of traditional asset classes and those of value...

Persistent link: https://www.econbiz.de/10013201161

COVID-19, Credit Risk and Macro Fundamentals

Dubinova, Anna; Lucas, Andre; Telg, Sean - 2021

We investigate the relationship between macro fundamentals and credit risk, rating migrations and defaults during the … start of the COVID-19 pandemic. We find that credit risk models that use macro fundamentals as covariates overestimate …

Persistent link: https://www.econbiz.de/10012606025

Multi-asset value payoff : is recent underperformance cyclical?

Tokat-Acikel, Yesim; Aiolfi, Marco; Jin, Yiwen - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-17

Persistent link: https://www.econbiz.de/10012745287

COVID-19, credit risk and macro fundamentals

Dubinova, Anna; Lucas, André; Telg, Sean - 2021

COVID-19, credit risk, macro fundamentals, frailty factors, dynamic latent factorsWe investigate the relationship … between macro fundamentals and credit risk, rating migrations and defaults during the start of the COVID-19 pandemic. We find … that credit risk models that use macro fundamentals as covariates overestimate credit risk incidence due to the …

Persistent link: https://www.econbiz.de/10012591539

Economic news releases and financial markets in South Africa

Gillas, Konstantinos Gkillas; Vortelinos, Dimitrios I.; … - In: Economies 7 (2019) 4, pp. 1-13

We examine the impact of economic news releases on returns, volatility and jumps of the stock and foreign exchange markets of South Africa. We also assess the impact of macroeconomic determinants. The dataset range is fifteen years covering the period from January, 2000 to December, 2014....

Persistent link: https://www.econbiz.de/10013199624

Economic news releases and financial markets in South Africa

Gillas, Konstantinos Gkillas; Vortelinos, Dimitrios I.; … - In: Economies : open access journal 7 (2019) 4/112, pp. 1-13

Persistent link: https://www.econbiz.de/10012132222

Exchange rate predictability, common factors, and applications in carry trade

Ogruk-Maz, Gokcen; Wu, Shengxiong; Yildirim, Sinan - In: International journal of monetary economics and finance … 13 (2020) 6, pp. 513-530

Persistent link: https://www.econbiz.de/10012515315

Don't get carried away : uncovering macro characteristics in carry portfolios

Aiolﬁ, Marco; Tokat-Acikel, Yesim - In: Journal of investment management : JOIM 17 (2019) 4, pp. 70-88

Persistent link: https://www.econbiz.de/10012254331

Decomposing global yield curve co-movement

Byrne, Joseph P.; Cao, Shuo; Korobilis, Dimitris - In: Journal of banking & finance 106 (2019), pp. 500-513

Persistent link: https://www.econbiz.de/10012224340

Financial Risk Measurement for Financial Risk Management

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - School of Economics and Management, University of Aarhus - 2011

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose exible methods that exploit recent developments in nancial econometrics and are likely to produce more accurate risk assessments, treating...

Persistent link: https://www.econbiz.de/10009371457