Narrow search
Showing 1 - 10 of 129
Cover Image
Modeling international stock market contagion using multivariate fractionally integrated APARCH approach
Mighri, Zouheir; Mansouri, Faysal - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-25
plunging stock market in the US, in the aftermath of global financial crisis (2007 - 2009), exerts contagion effects on … terms, and time-varying correlations. The empirical analysis shows a contagion effect for Brazil and Mexico during the early …
Persistent link: https://www.econbiz.de/10011559137
Cover Image
Experimentelle Aktienmärkte als Instrumente der Konjunkturprognose
Berlemann, Michael - In: ifo Schnelldienst 57 (2004) 16, pp. 21-29
In den späten achtziger Jahren kam eine neue Prognosetechnik zur Anwendung: die Veranstaltung so genannter "experimenteller Aktienmärkte". Diese Technik wurde zunächst vorrangig im Bereich der Wahlprognose eingesetzt, später fand sie auch in anderen Bereichen Anwendung, so z.B. bei der...
Persistent link: https://www.econbiz.de/10011692203
Cover Image
Banken unter Druck: Gibt es Auswege aus der neuen Bankenkrise?
Paul, Stephan; Farruggio, Christian; Schick, Gerhard; … - In: ifo Schnelldienst 64 (2011) 22, pp. 3-18
Durch die globale Finanz- und Wirtschaftskrise geraten Europas Banken immer mehr unter Druck. So hat die desolate Verfassung der Staatsfinanzen der südeuropäischen Länder nach Ansicht von Stephan Paul und Christian Farruggio, Ruhr-Universität Bochum, die Krise in den Bankensektor...
Persistent link: https://www.econbiz.de/10011693266
Cover Image
Bankenunion: Ist eine gemeinsame europäische Bankenaufsicht ein neues Instrument der Bankenrettung?
Burghof, Hans-Peter; Speyer, Bernhard; Kemmer, Michael; … - In: ifo Schnelldienst 65 (2012) 14, pp. 3-25
In der Debatte über die Zukunft der Eurozone wird auch das Konzept der Bankenunion diskutiert. Hans-Peter Burghof, Universität Hohenheim, sieht unter den gegenwärtigen Bedingungen die Gefahr einer europäischen Bankenunion, in der das Vermögen einiger Länder des Währungsraumes ohne...
Persistent link: https://www.econbiz.de/10011693370
Cover Image
Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
Dedi, Lidija; Yavas, Burhan F. - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-18
This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies are applied to daily data on country exchange-traded...
Persistent link: https://www.econbiz.de/10011988707
Cover Image
What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets
Śmiech, Sławomir; Papież, Monika; Dąbrowski, Marek A.; … - 2018
The aim of this study is to investigate sources of food prices volatility. The analysis uses daily series for volatility of corn, soybean, wheat, rice, US dollar, crude oil, and SP500 futures spanning the period January 4, 2000 to April 1, 2017. The authors employ the generalized vector...
Persistent link: https://www.econbiz.de/10011873184
Cover Image
Dynamic currency linkages between select emerging market economies: An empirical study
Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-31
and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and …
Persistent link: https://www.econbiz.de/10014001605
Cover Image
Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
da Silva, Paulo Pereira; Rebelo, Paulo Tomaz; Afonso, … - 2013
Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...
Persistent link: https://www.econbiz.de/10010322502
Cover Image
Effect of catastrophic disaster in financial market contagion
Siddikee, Md. Noman; Rahman, Mohammad Mafizur - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-13
The study examined the contagion effect of financial market volatility from Australian capital market to Indian, New … residuals after the catastrophes. Finally, Fishers r to z transformation was used for identifying contagion. After Victoria … respective z > +1.96 validates contagion. The adjusted correlation coefficient of Australia with China and Japan increased after …
Persistent link: https://www.econbiz.de/10011988709
Cover Image
Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach
Mili, Mehdi - 2012
The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...
Persistent link: https://www.econbiz.de/10010309427