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,...

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...

By means of an international sample of cross-border mergers and acquisitions (M&As) involving firms with outstanding Eurobonds from the US, Europe, and other countries around the world, we show that bond performance around M&A announcements is sensitive to cross-country differences in creditor...

Given the increased attention of precious metals by investors and the finance literature as well as the growth of high frequency trading, the behaviour of intraday precious metal markets is of great interest and importance. Therefore, this paper examines the stylized facts, correlation and...

The compass rose pattern in financial data may indicate the presence of a nonlinear, possibly chaotic, data generating mechanism. Analysis reveals that over four equivalent subperiods, from 1996 to 2015, the compass rose pattern in gold returns fades. This feature provides an opportunity to...