The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with differing results in terms of strength and direction of the relationship. This paper uses models of the multivariate GARCH type which allow for time-variability and regime changes in...

This paper adapts Meucci's [2006a, 2006b] copula opinion pooling (COP) framework to examine whether fixed income hedge fund strategies enhance the risk-return spectrum of traditional bond portfolios. In contrast to the Black-Litterman setup, the COP approach does not rely on linear dependencies,...

International capital flows in a system of flexible exchange rates will affect stock market dynamics and stock market developments should affect capital flows and the exchange rate respectively. In this analysis, four accession countries have been considered in order to examine any potential...

In this paper, we construct a single composite financial stress indicator (FSI) which aims to predict developments in the real economy in the euro area. Our FSI was shown to perform better than the Euro STOXX 50 volatility index for the recent banking crisis and the euro-area sovereign debt...

ABSTRACT In this paper, we construct a single composite financial stress indicator (FSI), which aims to predict developments in the real economy in the euro area. Our FSI was shown to perform better than the Euro STOXX 50 volatility index for the recent banking crisis and the euro‐area...

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...

Bid–ask spreads using intraday data reveal significant sensitivity to European Central Bank (ECB) macro-announcements. Effects are strongest for announcements that comprise unexpected information or a change in interest rates, and spreads rise sharply during the minutes surrounding interest...

This study gives first evidence on the consequences of the introduction of a transaction tax in Italian financial markets in 2013. We discuss the consequences of this tax on trading volume, volatility, and trading costs of FTSE MIB stocks. The structure of the tax introduction gives us the...