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The impact of policy decisions on global liquidity during the recent financial crisis
(Wiley, 2015-03)
The collapse of the recent housing price bubble precipitated the 2007–2008 financial crisis and caused international funding liquidity to dry up. We investigate how economic policies undertaken by the Federal Reserve and ...
Ranking the predictive performances of value-at-risk estimation methods
(Elsevier, 2012)
We introduce a ranking model and a complementary predictive ability test statistic to investigate the forecasting performances of different Value at Risk (VaR) methods, without specifying a fixed benchmark method. The ...
The geography of funding markets and limits to arbitrage
(Society for Financial Studies, 2015-04)
We use the relative pricing of pairs of emerging market (EM) sovereign bonds issued in both dollars and euros to study capital markets frictions during periods of financial distress. During the 2007–2008 crisis, we find ...
Robust term structure estimation in developed and emerging markets
(Springer Nature, 2018-01)
Despite powerful advances in interest rate curve modeling for data-rich countries in the last 30 years, comparatively little attention has been paid to the key practical problem of estimation of the term structure of ...
Investigation of stochastic pairs trading strategies under different volatility regimes
(Blackwell, 2010-09)
We investigate several market-neutral trading strategies and find empirical evidence that market-neutral equity trading outperforms in 2008, the first full year of the global financial meltdown. In our experiments we use ...
Predictability of emerging market local currency bond risk premia
(Taylor & Francis, 2015)
This article investigates the source of predictability of emerging market (EM) local currency bond risk premia by using a dynamic factor approach based on a large panel of economic and financial time series. We find strong ...
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