We propose a new top-down approach to measure systemic risk in the financial system. Our framework uses a combination of macroeconomic, financial and rating factors in representative regions of the world. We formulate a mixed-frequency state-space model to estimate macroeconomic factors. To...

We investigate the dynamic correlation between oil, gold and commodity currencies and suggest optimal hedging strategies for participants in these markets. Over the past few years, commodity prices have fluctuated significantly and exhibited high volatility. Although there are a number of...

We propose a new top-down approach to measure systemic risk in the financial system. Our framework uses a combination of macroeconomic, financial and rating factors in representative regions of the world. We formulate a mixed-frequency state-space model to estimate macroeconomic factors. To...

Using a framework similar to Bekeart, Harvey and Ng (2005), we investigate contagion between real estate investment trusts (REITs) within and across three geographical regions: North America, Europe and Asia-Pacific. We also examine for contagion between twelve national REIT markets on the one...

In this paper, we study the quality of commodity futures markets. We investigate the impact of two major changes: (1) The influx of index investors after 2004 (financialization) and (2) the introduction of side-by-side trading of open-outcry and electronic limit order markets around mid-2006...