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A comparative analysis of the nature of stock return volatility in BRICS and G7 markets

Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-27

:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …

Persistent link: https://www.econbiz.de/10012872753

Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator

Simmons-Süer, Banu - 2013

This paper attempts to find an aggregate leading indicator to predict the spreads observed for high-yield (HY) bond indices. Using a vector error correction (VEC) specification for quarterly data, we establish a long-term equilibrium relationship between the HY market spreads and its...

Persistent link: https://www.econbiz.de/10013087113

Testing Uncovered Interest Rate Parity Using LIBOR

Omer, Muhammad - 2013

, Smeekes, and Urbain (2010) and cointegration techniques by Westerlund (2007), we find that UIP holds for short-term maturities …

Persistent link: https://www.econbiz.de/10013090772

Forecasting high-yield bond spreads using the loan market as leading indicator

Simmons-Süer, Banu - 2013

Persistent link: https://www.econbiz.de/10009707628

Testing uncovered interest rate parity using LIBOR

Omer, Muhammad; Haan, Jakob de; Scholtens, Bert - 2012

, Smeekes, and Urbain (2010) and cointegration techniques by Westerlund (2007), we find that UIP holds for short-term maturities … cointegration …

Persistent link: https://www.econbiz.de/10009570031

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

Are the crypto markets shock resilient to COVID-19? : a comparative investigation of trading prices and volumes

Khan, Asad ul Islam; Bwando, William - In: International econometric review 16 (2025) 2, pp. 148-171

The aim of this study is to explore and investigate empirically the impact of Covid-19 pandemic on price and volume dynamics in crypto markets. The study makes use of two data samples, but these samples are analyzed separately and independently. The first sample consists of top five crypto...

Persistent link: https://www.econbiz.de/10015375484

International Evidence on the Stock Market and Aggregate Economic Activity

Ng, Lilian K. - 1998

Using the Johansen cointegration technique, we find empirical evidence of long run co-movements between five national … and to changes in the macroeconomic variables. Further, the constraints implied by the cointegration results yield some …

Persistent link: https://www.econbiz.de/10014105892

Modeling the dynamics of oil and agricultural commodity price nexus in linear and nonlinear frameworks : a case of emerging economy

Khan, Waseem; Sharma, Vishal; Ansari, Saghir Ahmad - In: Review of development economics : an essential resource … 26 (2022) 3, pp. 1733-1784

Persistent link: https://www.econbiz.de/10013329679

Some evidence on the asymmetry between gasoline and crude oil prices in selected countries

Salles, André Assis de - In: International Journal of Energy Economics and Policy : IJEEP 4 (2014) 4, pp. 670-678

Persistent link: https://www.econbiz.de/10011286603