Results 31 to 40 of about 989 (299)

Volatility spillover networks of credit risk: Evidence from ASW and CDS spreads in Turkey and Brazil [PDF]

Panoeconomicus
This study examines received and transmitted volatility spillovers of Credit Default Swap (CDS) and Asset-Swap Spread (ASW) for Brazil and Turkey. The empirical analysis is implemented using two country-based (stock markets and exchange rates) and two ...
Gunay Samet, Cevik Emrah Ismai, Dibooglu Sel   +2 more
doaj   +1 more source

The Volatility of the “Green” Option-Adjusted Spread: Evidence before and during the Pandemic Period

Risks, 2022
The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period.
Alessandra Ortolano, Eugenia Nissi
doaj   +1 more source

Study on Return and Volatility Spillover Effects among Stock, CDS, and Foreign Exchange Markets in Korea

East Asian Economic Review, 2015
The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan.
Taly I
doaj   +1 more source

How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model

İstanbul İktisat Dergisi, 2023
This study aims to investigate the effect of the credit default swap (CDS) on the Turkish stock market. More specifically, it analyses whether the relationship between CDS and the Turkish stock market has changed during the period of unprecedented stock ...
Veysel Karagöl
doaj   +1 more source

Credit Spreads and Equity Volatility during Periods of Financial Turmoil

Applied Finance Letters, 2014
We present a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface for the United States and five European countries from 2007– 2012, a sample period covering both the Global Financial Crisis (GFC ...
Katrin Gottschalk
doaj   +1 more source

The impacts of foreign portfolio flows and monetary policy responses on stock markets by considering COVID-19 pandemic: Evidence from Turkey

Borsa Istanbul Review, 2022
This study researches the impacts of foreign portfolio flows (proxied by foreign investors' retention share) and monetary policy responses (proxied by the repurchase interest rate) on Turkey's stock market index taking the COVID-19 pandemic into ...
Mustafa Tevfik Kartal, Hasan Murat Ertuğrul, Talat Ulussever   +2 more
doaj   +1 more source

A Closed-Form Pricing Formula for Log-Return Variance Swaps under Stochastic Volatility and Stochastic Interest Rate

Mathematics, 2021
At present, the study concerning pricing variance swaps under CIR the (Cox–Ingersoll–Ross)–Heston hybrid model has achieved many results; however, due to the instantaneous interest rate and instantaneous volatility in the model following the Feller ...
Chen Mao, Guanqi Liu, Yuwen Wang
doaj   +1 more source

Actin dynamics controlled by IqgC, a RasGAP at the crossroads between the IQGAP and fungal GAP1 families

FEBS Open Bio, EarlyView.
IqgC is a RasGAP from Dictyostelium discoideum. IqgC binds RasG via its RasGAP domain and deactivates it on macroendocytic cups, thereby suppressing the uptake of fluid and particles. IqgC has a positive effect on cell‐substratum adhesion, and its RGCt domain is required for recruitment to ventral foci.
Vedrana Filić, Darija Putar, Lucija Mijanović, Igor Weber   +3 more
wiley   +1 more source

Effectiveness of Central Bank Swap Lines in Alleviating the Mispricing of FX Swaps at the Start of the COVID-19 Pandemic

Applied Finance Letters
At the start of the COVID-19 pandemic the increased market volatility and risk aversion led to a deterioration of U.S. Dollar funding conditions in the Euro Area.
Patty Duijm, Kai Schellekens
doaj   +1 more source

Is There a Connection between Sovereign CDS Spreads and the Stock Market? Evidence for European and US Returns and Volatilities

Mathematics, 2020
This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over the period 2004–2016.
Laura Ballester, Ana González-Urteaga
doaj   +1 more source