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نتیجه جستجو - Comovements

تعداد مقالات یافته شده: 2
ردیف عنوان نوع
1 Comovements of gold futures markets and the spot market: A wavelet analysis
حرکات همزمان بازارهای آتی طلا و بازار نقد: یک تحلیل موج کوچکی-2018
We analyse time and frequency varying comovements in gold futures trading in three of the worlds largest derivative exchanges. We examine comovements using wavelet approaches. The findings indicate a stronger interaction among gold futures and the spot market at different time scales, with the correlation being very high at lower frequencies. Since markets are integrated in three to six month periods, any trading decision or policy measure should consider how other gold markets behave. In the short periods, market specific or idiosyncratic factors are important. As expected, COMEX and LBMA are the worlds leading gold markets at different time-scales.
keywords: Wavelet analysis| Wavelet multiple correlation| Wavelet multiple cross correlation| Gold futures and spot market
مقاله انگلیسی
2 Dealing with dealers: Sovereign CDS comovements
مواجهه با دلال ها: هم حرکتی های CDS حاکم-2018
We show that sovereign CDS that have common dealers tend to be more correlated, especially when the dealers display similar quoting activity in those contracts over time. This commonality in dealers’ activity is a powerful driver of CDS return comovements, over and above fundamental similarities between countries, including default, liquidity, and macro factors. We posit that the mechanism causing the excess correlation is the buying pressure faced by CDS dealers for credit enhancements and regulatory capital reliefs. An instrumental variable analysis helps alleviate the endogeneity concerns in our analysis
keywords: Sovereign CDS |Comovements |Commonalities |Dealers
مقاله انگلیسی
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