The Economic Value of Fundamental and Technical Information in Emerging Currency Markets
Zwart, G.J. De, Markwat, T.D., Swinkels, L.
We measure the economic value of information derived from macroeconomic variables and from technical trading rules for emerging markets currency investments. Our analysis is based on a sample of 21...
Contagion as Domino Effect in Global Stock Markets
This paper shows that stock market contagion operates through a domino effect, where small crashes evolve into more severe crashes. Using a novel unifying framework we model the occurrence of local,...
Time Variation in Asset Return Dependence: Strength or Structure?
This paper proposes a novel exible approach to modelling time variation in asset return dependence by means of mixture copulas. We distinguish between the strength of dependence as determined by the...