Zobrazeno 1 - 10
of 19
pro vyhledávání: '"Marco Tronzano"'
Autor:
Marco Tronzano
Publikováno v:
Journal of Risk and Financial Management; Volume 16; Issue 5; Pages: 273
This paper reassessed the hedging properties of four major safe-haven currencies (US dollar, Swiss franc, euro, yen) in international stock portfolios covering most representative world macroeconomic areas. The main contribution to the existing liter
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a3a8ff7c9dc630da64f130db8f774110
https://doi.org/10.3390/jrfm16050273
https://doi.org/10.3390/jrfm16050273
Autor:
Marco Tronzano
Publikováno v:
Journal of Risk and Financial Management; Volume 15; Issue 6; Pages: 241
This paper contributes to the literature on safe haven assets, analyzing gold and the Swiss Franc’s defensive properties inside various global stocks portfolios. The analysis relies on monthly data extending over the last two decades. Drawing on Mu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cea9d0215afb8193f0ea933f6c23ffdf
Autor:
Marco Tronzano
Publikováno v:
Journal of Risk and Financial Management
Volume 14
Issue 3
Journal of Risk and Financial Management, Vol 14, Iss 127, p 127 (2021)
Volume 14
Issue 3
Journal of Risk and Financial Management, Vol 14, Iss 127, p 127 (2021)
This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two “safe-haven” assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Signifi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6f8a0f68e9a15efc000d4e607cec1a55
http://hdl.handle.net/11567/1043322
http://hdl.handle.net/11567/1043322
Autor:
Marco Tronzano
Publikováno v:
Asian Economic and Financial Review. 8:704-716
This paper provides a first assessment about the Expectations Hypothesis of the Term Structure (EHTS) in the Philippines. In line with the EHTS, there is strong support for cointegration between interest rates at different maturities, while no signif
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0bdfea048713cfb54a82a29629f81ff4
https://doi.org/10.18488/journal.aefr.2018.85.704.716
https://doi.org/10.18488/journal.aefr.2018.85.704.716
Autor:
Marco Tronzano
Publikováno v:
Asian Economic and Financial Review. 8:1472-1481
This paper extends the empirical investigation of Tronzano (2018b) applying a cointegration test allowing for a structural break in the long-run equilibrium relationship. In line with Tronzano (2018b) the null hypothesis of absence of cointegration i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5c2b9fa1011759ab6ce5e98729c7db6c
https://doi.org/10.18488/journal.aefr.2018.812.1472.1481
https://doi.org/10.18488/journal.aefr.2018.812.1472.1481
Publikováno v:
Journal of Business & Economic Statistics. 36:101-114
This article develops a new Markov-switching vector autoregressive (VAR) model with stochastic correlation for contagion analysis on financial markets. The correlation and the log-volatility dynamics are driven by two independent Markov chains, thus
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e0d96213b05da711f803049c3d625c88
https://doi.org/10.1080/07350015.2015.1137757
https://doi.org/10.1080/07350015.2015.1137757
Autor:
Chiara Guerello, Marco Tronzano
Publikováno v:
The North American Journal of Economics and Finance. 51:101073
This paper provides new evidence about the role of common global factors exploring the existence of structural breaks in the long-run trend of the term structure and analyzes the spillover effects from the unconventional monetary policies recently im
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::052114d9e7a5d13aae370b96923c9a78
https://doi.org/10.1016/j.najef.2019.101073
https://doi.org/10.1016/j.najef.2019.101073
Autor:
Marco Tronzano
Publikováno v:
Emerging Markets Finance and Trade. 49:63-76
This paper reassesses the sustainability of fiscal policy in India from 1950 to 2010. Overall, the evidence broadly supports the hypothesis that the fiscal policy is "weakly" sustainable and documents a higher speed of adjustment to the intertemporal
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::508efd2793a76779fab60660ca6b721b
https://doi.org/10.2753/ree1540-496x4901s105
https://doi.org/10.2753/ree1540-496x4901s105
Autor:
Gianni Amisano, Marco Tronzano
Publikováno v:
The Manchester School. 78:437-459
In this paper we extend Svenssons (CEPR Discussion Paper 940, April 1994) ‘simplest test’ of inflation target credibility inside a Bayesian econometric framework and obtain various estimates of the European Central Bank's monetary policy credibil
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::87af8f5ad41c6e9b5daf0f35b16207e7
https://doi.org/10.1111/j.1467-9957.2010.02203.x
https://doi.org/10.1111/j.1467-9957.2010.02203.x
Autor:
Chiara Guerello, Marco Tronzano
This article outlines a panel data approach to modelling the term structure of interest rates in the short and in the long run. We find robust evidence supporting the expectations hypothesis of the term structure (EHTS) for a small sample of Asian em
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9992ce2399d0ff569ba94fe5ade7f809
http://hdl.handle.net/11385/177343
http://hdl.handle.net/11385/177343