Zobrazeno 1 - 10
of 28
pro vyhledávání: '"Dimitris A. Georgoutsos"'
Publikováno v:
Empirica. 48:977-1008
We examine the informative value of the 2016 and 2018 supervisory EU stress tests on the basis of the bank stock and CDS abnormal returns they have caused. Our conclusions are based on results from event study analysis and from regressions on the det
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b246de8cae8498642e36b2a187053ce6
https://doi.org/10.1007/s10663-020-09496-0
https://doi.org/10.1007/s10663-020-09496-0
Publikováno v:
Money, Trade and Finance ISBN: 9783030732189
This chapter deals with the dynamic relationship between term and credit spreads within a framework that incorporates regime shifts. Through the estimation of an asymmetric Markov-Switching Vector Equilibrium Correction Model (MS-VECM), comprising th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::82aaf2286476658e666f44b7e2fb743d
https://doi.org/10.1007/978-3-030-73219-6_9
https://doi.org/10.1007/978-3-030-73219-6_9
Publikováno v:
Open Economies Review. 28:989-1010
This study tries to fill a vacuum in the literature on the relevance of economic fundamentals for the Euro / USD exchange rate determination. We adopt the Monetary Model for the Exchange Rate Determination as our testing vehicle and investigate the r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2fdf61311baa0af95b5465c2f15a81b1
https://doi.org/10.1007/s11079-017-9468-6
https://doi.org/10.1007/s11079-017-9468-6
Publikováno v:
Journal of International Financial Markets, Institutions and Money. 48:146-159
During the recent global financial and Euro-area sovereign debt crises we witnessed a dramatic increase in the correlation between sovereign and bank default risk prices. In this paper we try to separate the portion of the correlation that is attribu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::03cc99a2521eb6d395cc5d9c3cf1fdf6
https://doi.org/10.1016/j.intfin.2017.01.004
https://doi.org/10.1016/j.intfin.2017.01.004
Publikováno v:
Applied Financial Economics. 23:1609-1621
In the present article, we examine the dynamics of euro-area sovereign bond yield spreads focusing on issues related to financial integration and market conditions. The property of a root falling near the unity threshold, in the data generation proce
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::530dc932317d6d7366264145e76d3685
https://doi.org/10.1080/09603107.2013.842637
https://doi.org/10.1080/09603107.2013.842637
Publikováno v:
European Financial Management. 18:389-409
In the present paper we examine the interactions among five benchmark ten year government bonds, namely those of the USA, Germany, France, Italy and the Netherlands. Our aim is to illustrate empirically a net of interactions existing among the major
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e9d756c4d499d23c81497cd2d817aedc
https://doi.org/10.1111/j.1468-036x.2009.00535.x
https://doi.org/10.1111/j.1468-036x.2009.00535.x
Publikováno v:
Journal of International Financial Markets, Institutions and Money. 18:358-373
This paper reexamines the forward rate unbiasedness hypothesis (FRUH) during the 1920s and it contributes to the literature as follows: first, it utilizes a database that includes currencies not studied before, as well as the 3 month forward rates; s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::db644b0701f59e21a907abdb41deec29
https://doi.org/10.1016/j.intfin.2007.04.003
https://doi.org/10.1016/j.intfin.2007.04.003
Publikováno v:
Journal of Multinational Financial Management, 18(3), 197-208. Elsevier
In this paper we study the dependence structure of extreme realization of returns between seven Asia-Pacific stock markets and the U.S. Methodologically we apply the multivariate extreme value theory that best suits to the problem under investigation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::be5008c0fb834ab6dc56feed99e2339c
https://doi.org/10.1016/j.mulfin.2007.08.003
https://doi.org/10.1016/j.mulfin.2007.08.003