We utilize the default by Argentina in 2001 and the Global Financial Crisis in 2008, as natural experiments, to monitor the complex interactions between sovereign bonds when subjected to endogenous and exogenous shocks. By forming pairs of Latin American sovereign bonds, bundled into similar...

This paper addresses empirical analysis of Malaysian credit spreads in a number of directions. Firstly, the investigation of explanatory power of macroeconomic or market variables to the changes in the spreads. Secondly, use of daily data rather than data sampled to match typical macroeconomic...

The analysis undertaken in this research is a first attempt to comprehensively model all four Samp;P500 markets simultaneously. Synchronously sampled half-hourly observations are generated from transaction data for these four financial assets. Special classes of Simultaneous Volatility (SVL)...

The process of pairs trading involves exhaustively matching and ranking pairwise stocks based on some prespecified measure of closeness; e.g., correlation, cointegration, sum-of-squared price difference. Pairs trading is popular for various reasons. It is simple to follow and execute. The...

We investigate cross-market trading dynamics in futures contracts written on seemingly unrelated commodities that are consumed by a common industry. On the Tokyo Commodity Exchange, we find such evidence in natural rubber (NR), palladium (PA) and gasoline (GA) futures markets. The automobile...