48 research outputs found
The spread of a financial virus through Europe and beyond
We analyse the importance of international relations between countries on the financial stability. The contagion effect in the network is tested by implementing an epidemiological model, comprising a number of European countries and using bilateral data on foreign claims between them. Banking statistics of consolidated foreign claims on ultimate risk bases, obtained from the Banks of International Settlements, allow us to measure the exposure of contagion spreading from a particular country to the other national banking systems. We show that the financial system of some countries, experiencing the debt crisis, is a source of global systemic risk because they threaten the stability of a larger system, being a global threat to the intoxication of the world economy and resulting in what we call a `financial virus'. Illustrative simulations were done in the NetLogo multi-agent programmable modelling environment and in MATLAB.publishe
Dow Effects in Returns and in Volatility of Stock Markets during Quiet and Turbulent Times
Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market
An Explanation of Efficient Market Hypothesis and Unbiasedness Using Markov Switching Framework
Realized volatility and jumps in the Athens Stock Exchange
We test for and model the volatility jumps for three major indices of the Athens Stock Exchange (ASE). Using intra-day data we first construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump components of volatility and perform various tests on their properties. Then we use the class of Heterogeneous Autoregressive (HAR) models for assessing the relevant effects of jumps on volatility. Our results expand and complement the previous literature on the ASE market and, in particular, this is the first time, to the best of our knowledge, that volatility jumps are examined and modelled for the Greek market, using a variety of realized volatility estimators. Finally, we compare the economic value of these volatility estimators and examine their differences in the context of a two-asset portfolio and volatility timing