All Outputs (2)

Connectedness between G10 currencies: Searching for the causal structure (2022)
Journal Article
Bettendorf, T., & Heinlein, R. (2023). Connectedness between G10 currencies: Searching for the causal structure. International Journal of Finance and Economics, 28(4), 3938-3959. https://doi.org/10.1002/ijfe.2629

This paper presents a new approach for modelling the connectedness between asset returns. We adapt the measure of Diebold and Yilmaz, which is based on the forecast error variance decomposition of a VAR model. However, their connectedness measure hin... Read More about Connectedness between G10 currencies: Searching for the causal structure.

Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios (2022)
Journal Article
Mahadeo, S., Heinlein, R., & Legrenzi, G. (2022). Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios. North American Journal of Economics and Finance, 60, Article 101629. https://doi.org/10.1016/j.najef.2021.101629

We use alternative approaches to identify stable and stressful scenarios in the S&P 500 market, to offer a new perspective for constructing contagion tests in recipient frontier markets vulnerable to disturbances from this source market. The S&P 500... Read More about Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios.