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Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected …
Persistent link: https://www.econbiz.de/10012695346
This paper examines macro-financial proximity underlying dynamics of co-movement between emerging and developed countries’ stock markets over the last decade. We initially decompose dynamic conditional correlations between log-returns of daily stock market indexes into short-run (daily) and...
Persistent link: https://www.econbiz.de/10014258232
This paper introduces a Banking-Macro Model and estimates the linkages through a Multi-Regime VAR (MRVAR). We introduce a dynamic model which is akin to the Brunnermeier and Sannikov (BS) model (2010). The banking sector is exposed to instability due to adverse movements of asset prices and...
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Economic agents are aware to incur in a loss basing their decisions on their own extrapolations instead of sound statistical data, but the loss could be smaller than the one related to waiting for the dissemination of final data. A broad guidance in deciding when statistical offices should...
Persistent link: https://www.econbiz.de/10013053002
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separately trading (or hedging) default correlations; all products exposed to correlation risk are contemporaneously also exposed … observable from traded assets. Inverting the classical Vasicek/Gauss copula model for the correlation parameter allows …
Persistent link: https://www.econbiz.de/10013138603
This paper develops a two-step inference procedure to test for a local one-for-one relation of contemporaneous jumps in high-frequency financial data corrupted by market microstructure noise. The first step develops a new bivariate Lee-Mykland jump test for pre-averaged, intra-day returns. If a...
Persistent link: https://www.econbiz.de/10013242708