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on Financial Markets |
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Issue of 2016‒02‒23
two papers chosen by |
| By: | Francesca Biagini; Jacopo Mancin |
| Abstract: | We study the concept of financial bubble in a market model endowed with a set of probability measures, typically mutually singular to each other. In this setting we introduce the notions of robust bubble and robust fundamental value in a consistent way with the existing literature in the case a unique prior exists. The notion of no dominance is also investigated under the uncertainty framework. Finally, we provide concrete examples illustrating our results. |
| Date: | 2016–02 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1602.05471&r=fmk |
| By: | Bong-Han Kim; Hyeongwoo Kim; Bong-Soo Lee |
| Abstract: | We examine spillover effects of the recent U.S. financial crisis on five emerging Asian countries by estimating conditional correlations of financial asset returns across countries using multivariate GARCH models. We propose a novel approach that simultaneously estimates the conditional correlation coefficient and the effects of its determining factors over time, which can be used to identify the channels of spillovers. We find some evidence of financial contagion around the collapse of Lehman Brothers in September 2008. We further find a dominant role of foreign investment for the conditional correlations in international equity markets. The dollar Libor-OIS spread, the sovereign CDS premium, and foreign investment are found to be significant factors affecting foreign exchange markets. |
| Keywords: | Financial Crisis; Spillover Effects; Contagion; Emerging Asian Countries; Dynamic Conditional Correlation; DCCX-MGARCH |
| JEL: | C32 F31 G15 |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:abn:wpaper:auwp2015-01&r=fmk |