Full and constrained Pareto efficiency with incomplete financial markets
Sign Up to like & getrecommendations! Published in 2019 at "Economic Theory"
DOI: 10.1007/s00199-019-01239-y
Abstract: We study the efficiency properties of equilibria in general equilibrium economies with incomplete financial markets. We focus the analysis on economies with a finitely large number of agents and initial endowments close to a Pareto… read more here.
Keywords: pareto optimal; equilibrium; financial markets; constrained pareto ... See more keywords
Complete and competitive financial markets in a complex world
Sign Up to like & getrecommendations! Published in 2021 at "Finance and Stochastics"
DOI: 10.1007/s00780-021-00463-6
Abstract: We investigate the possibility of completing financial markets in a model with no exogenous probability measure, with market imperfections and with an arbitrary sample space. We also consider whether such an extension may be possible… read more here.
Keywords: competitive financial; finance; markets complex; complete competitive ... See more keywords
The impact of the SARS-CoV-2 pandemic on financial markets: a seismologic approach
Sign Up to like & getrecommendations! Published in 2021 at "Annals of Operations Research"
DOI: 10.1007/s10479-021-04115-y
Abstract: This work investigates financial volatility cascades generated by SARS-CoV-2 related news using concepts developed in the field of seismology. We analyze the impact of socio-economic and political announcements, as well as of financial stimulus disclosures,… read more here.
Keywords: cov pandemic; impact sars; market; financial markets ... See more keywords
The Dynamic Volatility Connectedness Structure of Energy Futures and Global Financial Markets: Evidence From a Novel Time–Frequency Domain Approach
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DOI: 10.1007/s10614-021-10120-x
Abstract: We consider directional volatility connectedness among energy markets and financial markets over time and frequencies simultaneously during the period 2007–2018. We utilize and expand Barunik and Krehlik (J Financ Econom 16:271-296, 2018) connectedness measurements using… read more here.
Keywords: time; financial markets; connectedness; volatility connectedness ... See more keywords
Regime-dependent relation between Islamic and conventional financial markets
Sign Up to like & getrecommendations! Published in 2017 at "Borsa Istanbul Review"
DOI: 10.1016/j.bir.2017.11.001
Abstract: The aim of this paper is to examine regime-dependent dynamic relation between Islamic and conventional financial markets by means of Markov Switching Vector Autoregression (MS-VAR). Empirical results suggest evidence in favor of regime-switching properties in… read more here.
Keywords: conventional financial; islamic conventional; relation islamic; financial markets ... See more keywords
Dependence structure and dynamic connectedness between green bonds and financial markets: Fresh insights from time-frequency analysis before and during COVID-19 pandemic
Sign Up to like & getrecommendations! Published in 2022 at "Energy Economics"
DOI: 10.1016/j.eneco.2022.105842
Abstract: This paper examines the interdependence between green bonds and financial markets in the time-frequency domain by utilizing the multivariate wavelet approach and dynamic connectedness through combining Ensemble Empirical Mode Decomposition (EEMD) with Diebold and Yilmaz… read more here.
Keywords: time; bonds financial; financial markets; green bonds ... See more keywords
COVID-19 And the african financial markets : Less infection, less economic impact ?
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.102148
Abstract: Abstract Has the relatively low number of COVID-19 cases and deaths saved Africa from the disease’s economic and financial consequences ? This article assesses the impact of the pandemic on the volatility of major African… read more here.
Keywords: covid african; volatility; less infection; markets less ... See more keywords
The impact of Chinese financial markets on commodity currency exchange rates
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DOI: 10.1016/j.gfj.2018.05.003
Abstract: Abstract This paper investigates the effects of Chinese financial markets on commodity currency exchange rates (CCERs), employing an auto-regressive distributed lag model (ARDL) and an SVAR model. The results show that the Chinese stock market… read more here.
Keywords: commodity currency; market; financial markets; chinese financial ... See more keywords
Do terrorist attacks harm financial markets? A meta-analysis of event studies and the determinants of adverse impact
Sign Up to like & getrecommendations! Published in 2018 at "Global Finance Journal"
DOI: 10.1016/j.gfj.2018.06.003
Abstract: Abstract This study reassesses the common belief that terrorist attacks destabilize financial markets, by analyzing event studies covering 10,576 individual attacks and 141,665 nonattack days across 72 stock and foreign exchange markets in 36 countries… read more here.
Keywords: terrorist attacks; event studies; adverse impact; financial markets ... See more keywords
Long memory in financial markets: A heterogeneous agent model perspective
Sign Up to like & getrecommendations! Published in 2018 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2018.04.001
Abstract: During last decades, studies on asset pricing models witnessed a paradigm shift from rational expectation and representative agent to an alternative, behavioral view, where agents are heterogeneous and boundedly rational. In this paper, we model… read more here.
Keywords: market; memory financial; model; long memory ... See more keywords
Heterogeneous agent models in financial markets: A nonlinear dynamics approach
Sign Up to like & getrecommendations! Published in 2019 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2018.11.016
Abstract: Studies on financial markets have accumulated consistent evidences of stylized facts and anomalies, which can be characterized by stochastic switching among different co-existing market states but yet difficult to reconcile with traditionally rational expectation theory.… read more here.
Keywords: facts anomalies; financial markets; stylized facts; dynamics approach ... See more keywords