Aiming at the wrong recognition over one century that Giffen goods are special examples of demand law and Giffen goods are rare, this paper strictly proves that the demand curve of any Giffen goods can only slopes lower right and any commodity that complies with the demand law would probably...

This paper assesses the relative merits of panel time series models in forecasting sovereign default. It explores the contentious issue of whether controlling for time-series and country heterogeneity is important in forecasting emerging market default. For this purpose, it uses conventional...

Several recent studies advocate the use of nonparametric estimators of daily price variability that exploit intraday information. This paper compares four such estimators, realised volatility, realised range, realised power variation and realised bipower variation, by examining their in-sample...

We analyze the cross-border propagation of systemic risk in the international sovereign debt market. Using daily data on CDS spreads for 67 sovereign borrowers from 2002 to 2013 we define sovereign credit events as those in which the spread widens by more than 99.9% of all spread changes within...

The authors test Paul De Grauwe’s eurozone fragility hypothesis using a time window around the announcement of the Outright Monetary Transactions (OMT) programme. The findings reveal significant contagion from Spain to other eurozone countries, but solely during the pre-announcement period....

The objective of the present study is to examine the interplay between information, trading volume and volatility in Short Sterling futures. More specifically, the paper concentrates on the role of liquidity variables as conduits of information arrival and whether such variables could be an...

The present study delves into the bank–insurance phenomenon in Greece. The paper explores the market-based practices surfacing through the bank–insurance interface and delineates the possible theoretical corporate structures. A review of the various financial ventures in the domestic market...