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Researchers, policymakers and commentators have long debated the
patterns through which adverse shocks in a few markets may quickly
spread to a range of apparently disconnected financial markets
causing widespread losses and turmoil. This book uses modern linear
and non-linear econometric methods to characterize how shocks to
the yield of risky fixed income securities, such as sub-prime
asset-backed or low-credit rating sovereign bonds, are transmitted
to the yields in other markets. These include equity and corporate
bond markets as well as relatively risk-free fixed income
securities, such as highly rated asset-backed securities and
sovereign bonds from core Eurozone countries. The authors analyse
and compare the results from linear and non-linear models to
identify and assess four distinct contagion channels characterizing
both US and European financial markets. These include the
correlated information, risk premium, flight-to-liquidity, and
flight-to quality channels. The results of this study support the
theory that both investors and policy-makers ought to pay special
attention to liquidity and commonalities in the perceptions of the
probabilities of default, as channels through which financial
shocks propagate.
Essentials of Time Series for Financial Applications serves as an
agile reference for upper level students and practitioners who
desire a formal, easy-to-follow introduction to the most important
time series methods applied in financial applications (pricing,
asset management, quant strategies, and risk management). Real-life
data and examples developed with EViews illustrate the links
between the formal apparatus and the applications. The examples
either directly exploit the tools that EViews makes available or
use programs that by employing EViews implement specific topics or
techniques. The book balances a formal framework with as few proofs
as possible against many examples that support its central ideas.
Boxes are used throughout to remind readers of technical aspects
and definitions and to present examples in a compact fashion, with
full details (workout files) available in an on-line appendix. The
more advanced chapters provide discussion sections that refer to
more advanced textbooks or detailed proofs.
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