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Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence

McAleer, Michael; Hakim, Hakim, A. - Faculteit der Economische Wetenschappen, Erasmus … - 2009

The paper models the dynamic conditional correlations in emerging stock, bond and foreign exchange markets using the DCC model of Engle (2002) and the GARCC model of McAleer et al. (2008). The highly restrictive DCC model suggests that the conditional correlations of the overall returns are...

Persistent link: https://www.econbiz.de/10010731818

Do sovereign credit ratings influence regional stock and bond market interdependencies in emerging countries?

Christopher, Rachel; Kim, Suk-Joong; Wu, Eliza - In: Journal of international financial markets, … 22 (2012) 4, pp. 1070-1089

Persistent link: https://www.econbiz.de/10009582485

Time diversification in developed and emerging markets

Anderson, Hamish D.; Malone, Chris B.; Marshall, Ben R. - In: Journal of emerging market finance 11 (2012) 2, pp. 115-144

Persistent link: https://www.econbiz.de/10009752882

Sovereign credit rating change in emerging markets and its impact on their financial markets

Safari, Meysam; Mohamed Ariff - In: International journal of bonds and derivatives 1 (2015) 3, pp. 203-216

Persistent link: https://www.econbiz.de/10011434919

Carry

Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225

Persistent link: https://www.econbiz.de/10011968803

Gold price dynamics and the role of uncertainty

Beckmann, Joscha; Berger, Theo; Czudaj, Robert - In: Quantitative finance 19 (2019) 4, pp. 663-681

Persistent link: https://www.econbiz.de/10012194705

Time Diversification in Developed and Emerging Markets

Anderson, Hamish D.; Malone, Christopher B.; Marshall, … - In: Journal of Emerging Market Finance 11 (2012) 2, pp. 115-144

Time in the market substantially reduces the risk of loss resulting from holding both stocks and bonds. By focusing on … a downside VaR risk proxy in 25 emerging and 24 developed markets, we show that the downside risk of both stocks and … bonds is greatly reduced as the investment horizon is increased beyond 10 years, but the risk reduction is more pronounced …

Persistent link: https://www.econbiz.de/10010772759

Calendar anomalies in Russian stocks and bonds

Compton, William; A. Kunkel, Robert; Kuhlemeyer, Gregory - In: Managerial Finance 39 (2013) 12, pp. 1138-1154

evidence of calendar anomalies and finds a significant monthly pattern in Russian bonds. …

Persistent link: https://www.econbiz.de/10014941272

Do sovereign credit ratings influence regional stock and bond market interdependencies in emerging countries?

Christopher, Rachel; Kim, Suk-Joong; Wu, Eliza - In: Journal of International Financial Markets, … 22 (2012) 4, pp. 1070-1089

We investigate the permanent and transitory effects of sovereign credit ratings on time-varying stock and bond market correlations with their respective regional markets for a sample of up to nineteen emerging countries over the period from 1 January 1994 to 1 July 2007. We find that stock and...

Persistent link: https://www.econbiz.de/10010702729

Calendar anomalies in Russian stocks and bonds

Compton, William; Kunkel, Robert A.; Kuhlemeyer, Gregory - In: Managerial Finance 39 (2013), pp. 1138-1154

evidence of calendar anomalies and finds a significant monthly pattern in Russian bonds. …

Persistent link: https://www.econbiz.de/10010709763