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Brexit and uncertainty in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
Persistent link: https://www.econbiz.de/10011995622
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Brexit and uncertainty in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main...
Persistent link: https://www.econbiz.de/10011793915
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Brexit and uncertainty in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-9
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities...
Persistent link: https://www.econbiz.de/10011857194
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Brexit and uncertainty in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main...
Persistent link: https://www.econbiz.de/10011789327
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Factors behind the performance of green bond markets
Adekoya, Oluwasegun B.; Abakah, Emmanuel Joel Aikins; … - In: International review of economics & finance : IREF 88 (2023), pp. 92-106
Persistent link: https://www.econbiz.de/10014474235
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Portfolio Allocation for Public Pension Funds
Pennacchi, George - 2010
This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations … public pension fund management, we find evidence that funds chose greater overall asset - liability portfolio risk following …, pension plans take more risk when they have greater representation by plan participants on their Boards of Trustees …
Persistent link: https://www.econbiz.de/10012462201
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Contingent Capital : The Case of COERCs
Wolff, Christian C. P. - 2019
following a decline. The low risk of COERCS should increase their appeal to risk-averse bondholders …
Persistent link: https://www.econbiz.de/10012905703
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Contingent Capital : The Case for COERCs
Pennacchi, George - 2019
In this paper we propose a new security, the Call Option Enhanced Reverse Convertible (COERC). The security is a form of contingent capital, i.e. a bond that converts to equity when the market value of equity or capital falls below a certain trigger. The conversion price is set significantly...
Persistent link: https://www.econbiz.de/10012905933
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Contingent Capital : The Case of COERCs
Wolff, Christian C. P. - 2012
following a decline. The low risk of COERCS should increase their appeal to risk-averse bondholders …
Persistent link: https://www.econbiz.de/10013111934
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Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX : evidence using Markov-switching copulas
Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; … - In: Finance research letters 47 (2022) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10013455804