Browsing by Author "Hirs-Garzon, Jorge"
Spillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial markets
We explore the higher order linkages between energy commodity markets and global financial markets. Our focus is on spillovers of realized good and bad volatilities, realized signed jump variation, realized skewness and ...Documentos de Trabajo. 2020-06-03
We study spillovers between REITs and stock markets in a global context. We compute both directional and net spillover indexes in a global and dynamic setting. Our findings indicate that connectedness between these markets ...Documentos de Trabajo. 2020-06-03
We estimate the effects of financial, macroeconomic and policy uncertainty from the United States on the dynamics of credit growth, stock prices, economic activity, bond yields and inflation in five of the main receptors ...Documentos de Trabajo. 2020-10-30