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We employ an asset pricing framework to show that over the last twenty years there has been an increasing degree of integration between Asian and international stock markets, but very little with Japan. This finding is generally consistent with prior studies and highlights the impact of...
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This paper analyses the volatility transmission between European Global Systemically Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model is applied to determine the dynamic correlation...
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We investigate daily variations in credit spreads on investment grade Deutschemark-denominated Eurobonds during the challenging 1994 to 1998 period. Empirical results from a Longstaff and Schwartz (1995) two-factor regression, extended for correlated spread changes and heteroskedasticity,...
Persistent link: https://www.econbiz.de/10014029259
We investigate daily variations in credit spreads on investment-grade Deutschemark-denominated Eurobonds during the challenging 1994-1998 period. Empirical results from a Longstaff and Schwartz (1995) two-factor regression, extended for correlated spread changes and heteroskedasticity, indicate...
Persistent link: https://www.econbiz.de/10014063764