Financial market volatility and contagion effect: A copula–multifractal volatility approach

Economy to grow 2.3 per cent in 2016 and 2.7 per cent in 2017.Inflation rate of just 0.3 per cent this year and 1.3 per cent in 2017, reaching 2.1 per cent in 2018.Bank Rate now expected to remain ½ per cent until the second half of 2016.Chancellor forecast to miss the primary target of the Fiscal Mandate by a slim margin.Productivity performance the largest domestic risk, but emerging market slowdowns, financial market volatility and policy missteps also represent risks.

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Detecting multiple breaks in financial market volatility dynamics

Journal of Applied Econometrics ◽

10.1002/jae.684 ◽

2002 ◽

Vol 17 (5) ◽

pp. 579-600 ◽

Cited By ~ 189

Author(s):

Elena Andreou ◽

Eric Ghysels

Keyword(s):

Financial Market ◽

Market Volatility ◽

Multiple Breaks

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The ECB will set the speed of global credit tightening

Emerald Expert Briefings ◽

10.1108/oxan-db235462 ◽

2018 ◽

Keyword(s):

Financial Market ◽

Euro Area ◽

Market Volatility ◽

Government Bonds ◽

Content Type ◽

Bank Of Japan ◽

Global Growth

Significance The ECB's plan could tip the scales towards tighter credit conditions globally. However, there are concerns about global growth -- particularly in the euro-area -- and government bonds are proving extremely sensitive to hawkish policy, fuelling financial market volatility. Impacts The VIX index of anticipated US equities volatility is back near a record low, but volatility may rise and remain higher than recent years. Fed rate hikes and US growth outpacing the euro-area will strengthen the dollar although the euro briefly rose on the news of ECB tapering. The ECB trails the Fed by some years in policy tightening and forming a plan for unwinding QE; this divergence will also boost the dollar. The Bank of Japan is buying vast quantities of government bonds and has no plans to remove stimulus as inflation is far below the 2% target. Investors are appreciating and trusting Fed Chair Jay Powell's attempts to speak plainly and less formulaically than predecessor Yellen.

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CREDIT RISK AND INCOMPLETE INFORMATION: FILTERING AND EM PARAMETER ESTIMATION

International Journal of Theoretical and Applied Finance ◽

10.1142/s0219024910005966 ◽

2010 ◽

Vol 13 (05) ◽

pp. 683-715 ◽

Cited By ~ 6

Author(s):

CLAUDIO FONTANA ◽

WOLFGANG J. RUNGGALDIER

Keyword(s):

Parameter Estimation ◽

Credit Risk ◽

Financial Market ◽

Risk Model ◽

Information Filtering ◽

Credit Spreads ◽

Reduced Form ◽

Contagion Effect ◽

Credit Risk Model ◽

Filtering Approach

We consider a reduced-form credit risk model where default intensities and interest rate are functions of a not fully observable Markovian factor process, thereby introducing an information-driven default contagion effect among defaults of different issuers. We determine arbitrage-free prices of OTC products coherently with information from the financial market, in particular yields and credit spreads and this can be accomplished via a filtering approach coupled with an EM-algorithm for parameter estimation.

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