[PDF] Top 20 Volatility transmission between the oil price, the exchange rate and the stock market index

... Bidirectional transmission The two empirical studies that find a bidirectional transmission are those by Zhao (2010) and Chkili et ...data and a multivariate GARCH model, he finds a ... Voir le document complet

... estimate the volatility transmission between weekly WTI oil prices and equity sector returns 8 from January 1, 1992 to April 30, 2008 and find evidence of spillover ...on ... Voir le document complet

... as the Gosh model) have come under numerous criticism in the literature ...Supply-driven price models are more widely accepted (Dietzenbacher (1997)). Still, the limitations of this approach ... Voir le document complet

... Abstract: The options pricing on financial assets represents a subject of great interest to academics and practitioners in the financial markets; it is also a phenomenon that has preoccupied ... Voir le document complet

... in the Appendix, the only variables between which a two-way causality is possible are the exchange rate movements and the stock returns ...differential. ... Voir le document complet

... on the commodity markets was also examined through the such- called ‘herding ...Pindick and Rotenberg propose to define herding by a situation where traders are alternatively bullish or bearish on ... Voir le document complet

... filter. The state-space model allows us to find the variables that have the highest weight ...(i.e. the highest coefficient) in the determination of the euro/dollar ... Voir le document complet

... by the European Commission. The latter aimed at the marginalization of direct state intervention in the ownership structure, governance, or strategy of firms; integration of the ... Voir le document complet

... behaviour and consume in accordance with their preferences, albeit constrained by their total resources over their entire lifetimes (Modigliani & Brumberg, ...study the optimal composition of these ... Voir le document complet

... environment and hypotheses ...choose between three flotation methods: rights issues, which are underwritten (standby rights) or not (uninsured rights), and public ...to the US, rights ... Voir le document complet

... Introduction The rights offer paradox, first observed by Smith (1977), highlights that large US firms use the more costly underwritten flotation method rather than rights offerings to conduct ...Masulis ... Voir le document complet

... In the academic literature, a lack of financial literacy is put forward to explain certain biases or irrationality in the saver’s behaviour predicted by the “standard” model (life-cycle hypothesis ... Voir le document complet

... to the country-speci…c unit export values of agricultural goods (source: ...identify the causal impact of the real exchange rate on the rate of ...deforestation. ... Voir le document complet

... Ferreira and Schady (2009) describe a two periods setting in which households face tradeoff: they can either put their child to work right away (in which case they do not pay tuition fees, and receive ... Voir le document complet

... as the bid-ask spread has increased. This result holds for the subsamples in columns 1-2, but is not robust for the sample of large French midcaps with other foreign firms as a control group (column ... Voir le document complet

... of the model of interest, the Bayesian approach allows including advanced Monte Carlo techniques into the inference ...Harrison and West (1997) propose a Bayesian state-space form that permits ... Voir le document complet

... Consistent with the growth of index funds over the post September, 1976 period, the abnormal announcement date returns have also grown, providing some evidence for t[r] ... Voir le document complet

... of the type just de- scribed; the associated standard errors (conventional and heteroskedasticity & auto- correlation consistent) are comparatively small in the two larger data sets, ... Voir le document complet

... challenges the standard result according to which exchange rate volatility insulates small open economies from external ...ect the economy through an additional channel, denoted as ... Voir le document complet

... We also argue that in today's liquidity environment a multi-factor analysis of stock betas using liquidity (or illiquidity) in a modified capital asset pricing model p[r] ... Voir le document complet