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Modelling short-term interest rate spreads in the euro money market

Cassola, Nuno; Morana, Claudio - 2008

In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...

Persistent link: https://www.econbiz.de/10011605028

How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies

Wang, Xinyu; Qi, Zikang; Huang, Jianglu - In: Economic modelling 120 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014383984

Long memory in the Ukrainian stock market and financial crises

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2013

Persistent link: https://www.econbiz.de/10010241526

The impact of financial crises on the risk-return tradeoff and the leverage effect

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - 2012

-return tradeoff and the leverage effect. We apply the fractionally integrated exponential GARCH-in-mean (FIEGARCH-M) model for daily … returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage … significantly positive only during financial crises, and insignificant during non-crisis periods. The leverage effect is negative …

Persistent link: https://www.econbiz.de/10009536502

Empirical analysis of long memory, leverage, and distribution effects for stock market risk estimates

Su, Jung-Bin - In: The North American journal of economics and finance : a … 30 (2014), pp. 1-39

Persistent link: https://www.econbiz.de/10010463599

Impacts of the financial crisis on eurozone sovereign CDS spreads

Gündüz, Yalın; Kaya, Orcun - In: Journal of international money and finance 49 (2014), pp. 425-442

Persistent link: https://www.econbiz.de/10010464931

The impact of financial crises on the risk-return tradeoff and the leverage effect

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - In: Economic modelling 49 (2015), pp. 407-418

Persistent link: https://www.econbiz.de/10011439598

Long memory in the Ukrainian stock market and financial crises

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Journal of economics and finance 40 (2016) 2, pp. 235-257

Persistent link: https://www.econbiz.de/10011658783

MENA stock market volatility persistence : evidence before and after the financial crisis of 2008

Assaf, Ata - In: Research in international business and finance 36 (2016), pp. 222-240

Persistent link: https://www.econbiz.de/10011594406

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

Persistent link: https://www.econbiz.de/10011583871