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Future directions in international financial integration research. A crowdsourced perspective
(Elsevier, 2018)
info:eu-repo/semantics/article,
This paper is the result of a crowdsourced effort to surface perspectives on
the present and future direction of international finance. The authors are
researchers in financial economics who attended the INFINITI 2017 ...
Bank fragility and contagion: evidence from the bank CDS market
(Elsevier, 2016)
info:eu-repo/semantics/article,
Understanding how contagion works among financial institutions is a top priority for regulators and policy makers who aim to foster financial stability and to prevent financial crises. Using bank credit default swap (CDS) ...
The joint cross-sectional variation of equity returns and volatilities
(Elsevier, 2017)
info:eu-repo/semantics/article,
This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the ...
Transmisión del riesgo de crédito en el sector bancario Europeo: crisis subprime y deuda soberana
(Taylor & Francis, 2014)
info:eu-repo/semantics/article,
El objetivo del presente trabajo es analizar en profundidad la transmisión del riesgo de
crédito, aproximado por los CDS spreads, en el sector bancario europeo durante el
periodo 2006-2012, intentando dar respuesta a ...
The cross-sectional variation of volatility risk premia
(Elsevier, 2016)
info:eu-repo/semantics/article,
This paper analyzes the determinants of the cross-sectional variation of the average volatility risk premia for a representative set of portfolios sorted by volatility risk premium beta. The market volatility risk premium ...
How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets
(Elsevier, 2016)
info:eu-repo/semantics/article,
This article builds upon previous literature by providing a better understanding of how contagion changes in bordering sovereign CDS emerging markets resulting from credit rating events. To that end, we follow the novel ...
Estimating the elasticity of intertemporal substitution with leverage
(Elsevier, 2017)
info:eu-repo/semantics/article,
Following the recent literature on intermediary asset pricing models, this paper argues that the marginal utility of wealth of financial intermediaries can be used to generate enough volatility and counter-cyclicality on ...
Further empirical evidence on stochastic volatility models with jumps in returns
(Elsevier España, S.L., 2012)
info:eu-repo/semantics/article,
Using the Efficient Method of Moments we estimate a continuous time diffusion for the stochastic volatility of some international stock market indices that allows for possible jumps in returns. These jumps
are needed for ...
Volatility spillovers in the European bank CDS market
(Elsevier, 2015)
info:eu-repo/semantics/article,
From the 2007 subprime crisis to the recent Eurozone debt crisis,the banking industry has experienced terrible financial instabilitywith increasing volatility levels of bank default probability. UsingEuropean CDS spreads ...
Public funds and internal innovation goals as drivers of formal and informal open innovation practices: a European regional comparison
(Emerald, 2018)
info:eu-repo/semantics/article,
Objetivo: La innovacion abierta (IA) ha demostrado ser crucial para aumentar la innovacion y el desempeno economico de las empresas. Sin embargo todavia existe una comprension limitada de los factores que impulsan realizar ...