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Volatility Risk and Stock Return Predictability on Global Financial Crises

Kongsilp, Worawuth - 2016

volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear …This paper investigates the role of volatility risk on stock return predictability specified on two global financial … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …

Persistent link: https://www.econbiz.de/10012999962

European Sovereign CDS Premia during the Crisis – A Cointegration Analysis

Schmidt, Alexander - 2013

In this paper, I use multivariate time series models in order to analyze the evolution of European Sovereign CDS spreads during the recent crisis. I ﬁnd evidence that sovereigns' credit risk premia are non-stationary but cointegrated with simple measures of the countries' indebtedness and the...

Persistent link: https://www.econbiz.de/10013078906

Credit Risk Premia in Sovereign Credit Default Swaps

Sperna Weiland, Rob C. - 2018

In this paper, I analyze credit risk premia embedded in sovereign CDS spreads. In particular, I consider a heretofore largely ignored component that reflects the compensation investors demand for default event risk. I find that this default event risk premium is most heavily priced in short...

Persistent link: https://www.econbiz.de/10012920738

The Re-Pricing of Sovereign Risks Following the Global Financial Crisis

Malliaropulos, Dimitris - 2018

investor confidence, volatility risk, central bank liquidity and the position and the slope of the yield curve in the US …

Persistent link: https://www.econbiz.de/10012911064

The Re-Pricing of Sovereign Risks Following the Global Financial Crisis

Migiakis, Petros M.; Malliaropulos, Dimitris - 2022

investor confidence, volatility risk, central bank liquidity and the slope of the yield curve in the US …

Persistent link: https://www.econbiz.de/10013492641

The Re-pricing of Sovereign Risks Following the Global Financial Crisis

Malliaropulos, Dimitris; Migiakis, Petros M. - 2022

confidence, volatility risk, central bank liquidity and the position and the slope of the yield curve in the US …

Persistent link: https://www.econbiz.de/10014235540

A sensitivities based CoVaR approach to asset commonality and its application to SSM banks

Del Vecchio, Leonardo; Giglio, Carla; Shaw, Frances; … - 2022

One important source of systemic risk can arise from asset commonality among financial institutions. This indirect interconnection may occur when financial institutions invest in similar or correlated assets and it is also described as overlapping portfolios. In this paper, we propose a new...

Persistent link: https://www.econbiz.de/10013373564

Can Analysts Predict Rallies Better than Crashes?

Medovikov, Ivan - 2015

We use the copula approach to study the structure of dependence between sell-side analysts' consensus recommendations and subsequent security returns, with a focus on asymmetric tail dependence. We match monthly vintages of I/B/E/S recommendations for the period January to December 2011 with...

Persistent link: https://www.econbiz.de/10013026393

Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession

Schlossberg, Jessica - 2018

In this paper, we review econometric methodology that is used to test for jumps and to decompose realized volatility …

Persistent link: https://www.econbiz.de/10012915430

Stressing Correlations and Volatilities - A Consistent Modeling Approach

Becker, Christoph - 2011

We propose a new approach to the definition of stress scenarios for volatilities and correlations. Correlations and volatilities depend on a common market factor, which is the key to stressing them in a consistent and intuitive way. Our approach is based on a new asset price model where...

Persistent link: https://www.econbiz.de/10013119591