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Edson Zambon Monte
Pág. 359 - 402
This study analyzed the analyze the integration pattern (co-movements) of the international financial markets of 25 countries, in the period from 1997 to 2015, by means of the principal component analysis, applied to the residuals of the VAR-GARCH model....
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E.M. Afsal,Mohammad Imdadul Haque
Pág. 1025 - 1034
The price movements in gold market are considered to detect non-linear dependencies with stock market in the Saudi Arabian context. Both the univariate and multivariate models of GARCH class are employed in this study. Initially, the work uses GARCH (1,1...
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Annika Westphal
This paper draws on network theory to investigate European banks? sovereign debt exposures. Banks? holdings of sovereign debt build a network of financial linkages with European countries that exhibits a long-tail distribution of node degrees. A highly c...
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Dirk Visser,Gary van Vuuren
AbstractA stress-testing model to evaluate liquidity and systemic risk in banks of developed and emerging economies has been assembled and tested. The Liquidity Stress Tester model (LST) was applied to Dutch and UK markets during crisis and non-crisis pe...
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Christos Kollias, Stephanos Papadamou and Costas Siriopoulos
Terrorist incidents exert a negative, albeit usually short-lived, impact on markets and equity returns. Given the integration of global financial markets, mega-terrorist events also have a high contagion potential with their shock waves being transmitted...
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