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Co-movement of Spreads: Fundamentals or Investor Behavior?

Paolo Mauro, Nathan Sussman, and Yishay Yafeh

in Emerging Markets and Financial Globalization: Sovereign Bond Spreads in 1870-1913 and Today

Published in print:
2006
Published Online:
May 2006
ISBN:
9780199272693
eISBN:
9780191603488
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199272697.003.0006
Subject:
Economics and Finance, Financial Economics

This chapter focuses on co-movement of spreads across different countries, and on the frequency of crises shared by more than one country — contagion. Overall, co-movement of spreads among emerging ... More


Pitfalls in Modelling Dependence Structures: Explorations with Copulas *

Pravin K. Trivedi and David M. Zimmer

in The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Published in print:
2009
Published Online:
September 2009
ISBN:
9780199237197
eISBN:
9780191717314
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199237197.003.0006
Subject:
Economics and Finance, Econometrics

Tests of co-movements are often formulated as covariance or correlation restrictions in a multivariate (GARCH) framework. Although such a framework permits tests of hypotheses about contemporaneous ... More


Regionalization versus Globalization

Hideaki Hirata, M. Ayhan Kose, and Christopher Otrok

in Global Interdependence, Decoupling, and Recoupling

Published in print:
2013
Published Online:
May 2014
ISBN:
9780262019804
eISBN:
9780262314442
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262019804.003.0005
Subject:
Economics and Finance, Macro- and Monetary Economics

Both global and regional economic linkages have strengthened substantially over the past quarter century. This chapter employs a dynamic factor model to analyze the implications of these linkages for ... More


Flows

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0015
Subject:
Economics and Finance, Financial Economics

Flows into and out of ETFs have attracted considerable attention from investors and regulators. Flows are a timely and cross-asset class barometer of the market sentiment of sophisticated investors. ... More


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