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Measuring Sovereign Contagion in Europe
Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, … - Centre for Applied Macro- and Petroleum economics … - 2012
This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that...
Persistent link: https://www.econbiz.de/10010598292
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Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - Research Center SAFE (Sustainable Architecture for … - 2015
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a detailed, quote-level dataset of the largest interdealer...
Persistent link: https://www.econbiz.de/10011252511
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Herding, Information Cascades and Volatility Spillovers in Futures Markets
McAleer, Michael; Radalj, Kim - Tinbergen Instituut - 2013
Published in the <I>Journal of Reviews on Global Economics</I> (2013). Volume 2, pages 307-329.<P> Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents....</p></i>
Persistent link: https://www.econbiz.de/10011256404
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Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
Lean, Hooi Hooi; McAleer, Michael - Tinbergen Instituut - 2013
This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean-variance (MV) criterion and stochastic dominance (SD) approach. The MV findings cannot distinguish between the preferences of spot and futures markets. However, the SD tests...
Persistent link: https://www.econbiz.de/10011256736
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …
Persistent link: https://www.econbiz.de/10011256871
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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - Department of Economics and Finance, College of … - 2011
This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk...
Persistent link: https://www.econbiz.de/10009002352
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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - Institute of Economic Research, Kyoto University - 2011
This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk...
Persistent link: https://www.econbiz.de/10009002679
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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
Chang, Chia-Lin; McAleer, Michael; Hammoudeh, Shawkat; … - Facultad de Ciencias Económicas y Empresariales, … - 2011
This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk...
Persistent link: https://www.econbiz.de/10009143386
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Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
Billio, Monica; Getmansky, Mila; Lo, Andrew W.; … - Dipartimento di Economia, Università Ca' Foscari Venezia - 2011
We propose several econometric measures of connectedness based on principal-components analysis and Granger-causality networks, and apply them to the monthly returns of hedge funds, banks, broker/dealers, and insurance companies. We find that all four sectors have become highly interrelated over...
Persistent link: https://www.econbiz.de/10009363267
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Measuring Sovereign Contagion in Europe
Pelizzon, Loriana; Rigobon, Roberto; Caporin, Massimiliano - National Bureau of Economic Research (NBER) - 2013
This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that...
Persistent link: https://www.econbiz.de/10010796746