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Econometric Modeling: International Financial Markets - Volatility & Financial Crises eJournal

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3801.

The Properties of Realized Correlation: Evidence from the French, German and Greek Equity Markets

The Quarterly Review of Economics and Finance, Vol. 50, pp. 273-290, 2010
Posted: 29 Jan 2015
Accepted Paper Series
University of Lincoln
3802.

The Real Effects of Financial Markets

Annual Review of Financial Economics, Vol. 4, pp. 339-360, 2012
Posted: 04 Nov 2012
Accepted Paper Series
University of Washington - Michael G. Foster School of Business, London Business School - Institute of Finance and Accounting and University of Pennsylvania - The Wharton School - Finance Department

Multiple version iconThere are 3 versions of this paper

3803.

The Relationship between Macroeconomic Overheating and Financial Vulnerability: A Quantitative Exploration

FEDS Notes No. 2018-10-12
Posted: 17 Oct 2018 Last Revised: 25 Jun 2020
Working Paper Series
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
3804.

The Resilient Family Firm: Stakeholder Outcomes and Institutional Effects

Corporate Governance: An International Review, Vol. 23, Issue 3, pp. 167-183, 2015
Number of pages: 17 Posted: 29 Apr 2015
Accepted Paper Series
University of South Carolina - Darla Moore School of Business, University of British Columbia (UBC) - Sauder School of Business, Concordia University, Quebec - John Molson School of Business and University of Western Ontario - Richard Ivey School of Business
3805.

The Response of Bond Prices to Insurer Ratings Changes

Miao, H., Ramchander, S., & Wang, T. (2014). The Response of Bond Prices to Insurer Ratings Changes. The Geneva Papers on Risk and Insurance-Issues and Practice, 39(2), 389-413.
Posted: 20 Apr 2015 Last Revised: 20 Oct 2015
Accepted Paper Series
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
3806.

The Responsiveness of Corporate Investments to Changes in Corporate Taxation during the Financial Crisis: Empirical Evidence from Slovenian Firms

Emerging Markets Finance and Trade, Vol. 52, No. 9
Posted: 12 Jun 2013 Last Revised: 19 Sep 2017
Accepted Paper Series
Institute for Economic Research
3807.

The Risk of the Sovereign Debt Default: The Eurozone Crisis 2008-2013

Applied Economics, 2016
Posted: 29 Dec 2016
Accepted Paper Series
Crete Intsitute of Technology (T.E.I. of Crete), Hellenic Mediterranean University and Hellenic Mediterranean University
3808.

The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation

European Financial Management, Vol. 23, Issue 2, pp. 325-354, 2017
Number of pages: 30 Posted: 19 May 2020
Accepted Paper Series
HEC Montreal and HEC Montréal
3809.

The Role of Trading Volume in the 'Volatility Puzzle'

Asia-Pacific Journal of Financial Studies (2015) 44, 783–809,
Posted: 27 Jan 2016
Accepted Paper Series
Korea University
3810.
3811.

The Stress-Dependent Random Walk

International Journal of Theoretical and Applied Finance, Vol. 18, No. 8, 2015
Posted: 08 Jan 2016
Accepted Paper Series
Pivot Point Advisors
3812.

The Subprime Shock: From the Purchase of a First Home to a Systemic Crisis (Lo Shock Subprime: Dall'Acquisto Della Prima Casa Ad Una Crisi Sistemica)

Dirigenza Bancaria, 128-129, 2012
Posted: 12 Apr 2014
Accepted Paper Series
University of Rome I and Sapienza, University of Rome
3813.

The Term Structure of Interest Rates and Macro Economy: Evidence from the Pre- and Post- Crisis Periods

Posted: 06 Jun 2015
Working Paper Series
Athens University of Economics and Business, Fairfield University - School of Business - Department of Finance and Athens University of Economics and Business
3814.

The Triple Crisis and the Global Aid Architecture

UNU-WIDER working papers 01/2010; 2010/01
Posted: 16 Nov 2014
Working Paper Series
United Nations University, United Nations - World Institute for Development Economics Research (UNU/WIDER) and University of Copenhagen - Department of Economics

Multiple version iconThere are 4 versions of this paper

3815.

The Triple Crisis and the Global Aid Architecture

Global Health: Ethics, Public Policy and Challenges for the Future. Volume 4. SAGE Library of Health and Social Welfare. 2011. Editors:Ronald Labonté, Katia Mohindra, Ted Schrecker and Kirsten Stroebenau ,
Posted: 17 Dec 2014
Accepted Paper Series
United Nations - World Institute for Development Economics Research (UNU/WIDER), United Nations University and University of Copenhagen - Department of Economics

Multiple version iconThere are 4 versions of this paper

3816.

The Two Faces of Interbank Correlation

CEPR Discussion Paper No. DP12363
Number of pages: 31 Posted: 16 Oct 2017
Working Paper Series
University of Bristol, Pontifical Catholic University of Chile - School of Business and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
3817.

The Volatility Dynamics of Spot and Futures Gold Prices: Evidence from Russia

Research in International Business and Finance, September 2016, Forthcoming
Posted: 13 Dec 2013 Last Revised: 31 Jul 2016
Accepted Paper Series
Dokuz Eylul University - Faculty of Business and Dokuz Eylul University - Faculty of Business
3818.

The Volatility Effect in Emerging Markets

Emerging Markets Review, Vol. 16, pp. 31-45, 2013
Posted: 14 Apr 2013 Last Revised: 21 Jun 2013
Accepted Paper Series
Robeco Quantitative Investments, APG asset Management and Robeco Quantitative Investments

Multiple version iconThere are 2 versions of this paper

3819.

The Volatility of Bitcoin

Posted: 22 Feb 2017
Working Paper Series
ICMA Centre, Henley Business School
3820.

The Volatility of Return Revisions and Financial Statement Literacy in Emerging Markets: The Case of Cross-Listed Chinese Firms

Journal of Business Finance & Accounting, Forthcoming, Rotman School of Management Working Paper No. 2723958
Posted: 29 Jan 2016
Accepted Paper Series
University of Toronto - Rotman School of Management, Monash University - Department of Accounting and Hong Kong Polytechnic University

Multiple version iconThere are 2 versions of this paper

3821.

Time-Deformation Modeling of Stock Returns Directed by Duration Processes

Econometric Reviews, Forthcoming
Posted: 01 Apr 2013
Accepted Paper Series
Independent, Independent and University of Waterloo - School of Accounting and Finance
3822.

Time-Frequency Analysis of the Interrelationship between the Global Macro Assets and Fear Indexes Using Wavelet-Based Tools

Posted: 14 Sep 2016
Working Paper Series
University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory and University of Sfax - Higher Institute of Business Administration
3823.

Time‐Varying Credit Risk Discovery in the Stock and CDS Markets: Evidence from Quiet and Crisis Times

European Financial Management, Vol. 21, Issue 3, pp. 430-461, 2015
Number of pages: 32 Posted: 02 Jun 2015
Accepted Paper Series
ESADE Business School, Ramon Llull University and Autonomous University of Barcelona

Multiple version iconThere are 2 versions of this paper

3824.

Tipping the (Im)Balance: Capital Inflows, Financial Market Structure, and Banking Crises

Economics & Politics, Vol. 29, Issue 3, pp. 179-208, 2017
Number of pages: 30 Posted: 04 Oct 2017
Accepted Paper Series
University of Wisconsin-Madison and Massachusetts Institute of Technology (MIT) - Department of Political Science
3825.

To Be Bailed Out or to Be Left to Fail? A Dynamic Competing Risks Hazard Analysis

Journal of Financial Stability, Vol. 34, 2018, pp. 61-85
Posted: 24 Mar 2018
Accepted Paper Series
Bournemouth University - Business School
3826.

Tobin Tax and Volatility: A Threshold Quantile Autoregressive Regression Framework

Review of International Economics, Vol. 23, Issue 5, pp. 996-1022, 2015
Number of pages: 27 Posted: 21 Oct 2015
Accepted Paper Series
University Paris-Est Créteil (UPEC) and Dankook University - Faculty of Business and Economics
3827.

Trader Type Effects on the Volatility‐Volume Relationship Evidence from the Kospi 200 Index Futures Market

Bulletin of Economic Research, Vol. 70, Issue 3, pp. 226-250, 2018
Number of pages: 25 Posted: 13 Jul 2018
Accepted Paper Series
Brunel University London

Multiple version iconThere are 2 versions of this paper

3828.

Turbulence, Firm Decentralization and Growth in Bad Times

CEPR Discussion Paper No. DP11979
Number of pages: 60 Posted: 25 Apr 2017
Working Paper Series
College de France and London School of Economics and Political Science, Fellow, Stanford University - Department of Economics, Stanford University, Harvard University - Strategy Unit and Massachusetts Institute of Technology (MIT)

Multiple version iconThere are 4 versions of this paper

3829.

U.S. Bank Structure, Fragility, Bailout, and Failure during the U.S. Financial Crisis

25th Australasian Finance and Banking Conference 2012, Midwest Finance Association 2013 Annual Meeting Paper
Posted: 21 Aug 2012 Last Revised: 14 Jun 2016
Working Paper Series
Western Michigan University - Finance & Commercial Law and Washington State University - Department of Finance, Insurance and Real Estate
3830.

U.S. Stock Returns and Oil Prices: The Tale from Daily Data and the 2008-2009 Financial Crisis

Energy Economics, Vol. 36, 2013
Posted: 29 Jan 2013
Accepted Paper Series
University of Texas - Pan American - College of Business Administration - Department of Economics & Finance and Bowie State University
3831.

UK Fiscal Policy Sustainability, 1955–2006

The Manchester School, Vol. 81, Issue 6, pp. 961-991, 2013
Number of pages: 31 Posted: 12 Oct 2013
Accepted Paper Series
Jinan University and University of Piraeus
3832.

Un-Networking: The Evolution of Networks in the Federal Funds Market

FEDS Working Paper No. 2015-055, http://dx.doi.org/10.17016/FEDS.2015.055
Posted: 21 Aug 2015
Working Paper Series
Federal Reserve Board, Harvard University - Department of Economics and Board of Governors of the Federal Reserve System
3833.

Uncertain Booms and Fragility

Posted: 18 Mar 2017
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of New York
3834.

Uncovering the Impact of Regulatory Uncertainty on Credit Spreads: A Study of the U.S. Covered Bond Experience

Journal of Financial Markets, Forthcoming
Posted: 30 Dec 2014 Last Revised: 03 Dec 2017
Accepted Paper Series
University of Texas at San Antonio - Department of Finance and James Madison University
3835.

Upshot of Financial Crisis on Nigerian Banks: A Focus on Ten Troubled Banks

Posted: 27 Jul 2014
Working Paper Series
Victoria University of Wellington, Victoria Business School
3836.

Using Monte Carlo Simulations to Establish a New House Price Stress Test

Journal of Housing Economics, Vol. 20, No. 2, 2011
Posted: 06 Mar 2013
Accepted Paper Series
affiliation not provided to SSRN and delete
3837.

Vargamma Stress Tests

Journal Of Investment Management (JOIM), Second Quarter 2013
Posted: 15 Jun 2013
Accepted Paper Series
Independent
3838.

Volatility and Autocorrelation in European Futures Markets

Epaminontas Katsikas, (2007) "Volatility and autocorrelation in European futures markets", Managerial Finance, Vol. 33 Iss: 3, pp.236-240
Posted: 22 Feb 2016
Accepted Paper Series
University of Kent
3839.

Volatility and Political Institutions: Theory and Application to Economic Growth

CEPR Discussion Paper No. DP10374
Number of pages: 54 Posted: 02 Feb 2015
Working Paper Series
London School of Economics & Political Science (LSE) - Department of Economics and Instituto de Análisis Económic (IAE) Barcelona
3840.

Volatility and Spillover Effects of Yen Interventions

Review of International Economics, Vol. 21, Issue 4, pp. 671-689, 2013
Number of pages: 19 Posted: 16 Aug 2013
Accepted Paper Series
University of Athens - Faculty of Economics, The University of Nottingham Ningbo, China and University of Essex - Department of Accounting, Finance & Management
3841.

Volatility Clustering, Risk-Return Relationship and Asymmetric Adjustment in Canadian Housing Markets

Lin, P. and Fuerst, F. 2014. Volatility Clustering, Risk-Return Relationship, and Asymmetric Adjustment in the Canadian Housing Market. Journal of Real Estate Portfolio Management 20(1): 37–46. ,
Posted: 06 Jan 2013 Last Revised: 22 Feb 2015
Working Paper Series
Australian National University (ANU) and University of Cambridge - Department of Land Economy
3842.

Volatility Estimation for Istanbul Stock Exchange Food and Beverage Index

Posted: 18 Dec 2018
Working Paper Series
Konya Food and Agriculture University
3843.

Volatility Forecasting and Effects of Asymmetric Patterns in Emerging Markets of Asia

Posted: 06 Feb 2017 Last Revised: 21 Feb 2017
Working Paper Series
University of Agriculture, Faisalabad - Institute of Business Management Sciences and Capital University of Science and Technology
3844.

Volatility in Stock Markets of India and Canada

The IUP Journal of Applied Economics, Vol. XI, No. 4, pp. 72-79, October 2012
Posted: 30 Nov 2012
Accepted Paper Series
Management Programmes,Uka Tarsadia University and Veer Narmad South Gujarat University
3845.

Volatility Indices: An International Comparison

The IUP Journal of Financial Risk Management, Vol. XIII, No. 3, pp. 7-19, September 2016
Posted: 12 May 2017
Accepted Paper Series
Goa University and Goa Business School, Goa University
3846.

Volatility Jumps and Macroeconomic News Announcements

Journal of Futures Markets, Forthcoming
Posted: 11 May 2018
Accepted Paper Series
The University of Western Australia and Department of Banking and Finance, Monash University
3847.

Volatility Linkages Among Gold Futures in Emerging Markets

Emerging Markets Finance and Trade, Vol. 51, 2015
Posted: 12 Oct 2015
Accepted Paper Series
Izmir Ekonomi University, Galatasaray University and Independent
3848.

Volatility Persistence, Long Memory and Time-Varying Unconditional Mean: Evidence from Ten Equity Indices

Quarterly Review of Economics and Finance, Forthcoming
Posted: 23 May 2008
Accepted Paper Series
University of Stirling and University of Oxford - Harris Manchester College
3849.

Volatility Risk Premia and Exchange Rate Predictability

CEPR Discussion Paper No. DP9549
Number of pages: 80 Posted: 09 Jul 2013
Working Paper Series
Imperial College Business School, Imperial College London and University of Cambridge - Judge Business School

Multiple version iconThere are 2 versions of this paper

3850.

Volatility Spillover Effects across Emerging Equity Markets of Pakistan, India, China and Bangladesh: A Multivariate GARCH-BEKK and CCC Approach

Posted: 06 Feb 2017 Last Revised: 15 Feb 2017
Working Paper Series
University of Agriculture, Faisalabad - Institute of Business Management Sciences, Capital University of Science and Technology, University of Otago - Department of Accountancy and Finance and University of Agriculture, Faisalabad