Spillovers among CDS indexes in the US financial sector

By employing the robust cross-correlation function approach proposed by Hong (2001), and conducting pre-tests for structural breaks in the variances as well as removing the causality-in-mean effects in the causality-in-variance tests, we investigate volatility and mean transmissions between the credit default swaps (CDS) indexes of three US financial sectors. We use daily series on five-year banking, insurance, and financial services sector CDS indexes at the sector level from January 2004 to December 2011. We find evidence of significant causality-in-mean effects running from the banking sector to the insurance and financial services sector CDS indexes and from the financial services to the insurance sector CDS indexes, suggesting the leading role of the banking and financial services sectors in terms of price discovery. Moreover, we find significant causality-in-variance effects from the financial services sector CDS index to that of the banking sector, implying the existence of information transmission and contagion from the former, the least regulated of the three. The implications of these findings on traders and policymakers are also provided.     

相关瑞利衰落信道下空时分组编码性能分析

目前对空时编码的研究大都是基于信道是独立的假设下进行的,然而在实际系统中独立性假设是不成立的。基于此,研究了信道的相关性对空时编码性能的影响。计算机仿真结果表明：由于衰落信道的相关性,系统性能有所下降,且系统性能关于相关系数存在“地板效应”,即相关系数小于某一数值时,对系统性能的影响较小;当大于此值时,系统性能就会急剧下降。     

Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period

In this paper we explore the nature of the mean, volatility and causality transmission mechanism between stock and foreign exchange markets for the United States and some major European markets for the periods pre- and post-euro. The asymmetric volatility transmission is described by an extended Multivariate Exponential Generalized Autoregressive Conditionally Heteroskedastic (EGARCH) model. The results support the asymmetric and long-range persistence volatility spillover effect and show strong evidence of causality in the mean and variance between foreign exchange rate and stock price for both pre- and post-euro periods. However, the stock price has a more significant effect on foreign exchange rate for the two subsamples. These results are robust to the cross-correlation function test suggested by Cheung and Ng. The implication is particularly important for international portfolio managers when devising hedging and diversification strategies for their portfolios.     

Assessment of India's research literature

The structure and infrastructure of the Indian research literature were determined. A representative database of technical articles was extracted from the Science Citation Index/Social Science Citation Index (SCI/SSCI) [SCI. Certain data included herein are derived from the Science Citation Index/Social Science Citation Index prepared by the THOMSON SCIENTIFIC®, Inc. (Thomson®), Philadelphia, Pennsylvania, USA: ©Copyright THOMSON SCIENTIFIC® 2006. All rights reserved. [1]] for 2005, with each article containing at least one author with an India address. Document clustering was used to identify the main technical themes (core competencies) of Indian research. Aggregate India bibliometrics were also performed, emphasizing the value of collaborative research to India. A unique mapping approach was used to identify networks of organizations that published together, networks of organizations with common technical interests, and especially those organizations with common technical interests that did not co-publish extensively. Finally, trend analyses were performed using other year data from the SCI/SSCI to place the 2005 results in their proper historical context.     

On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads

Using the causality-in-variance and causality-in-mean tests advocated by Hong (2001), we examine volatility and mean transmissions between the US dollar (USD) and euro (EUR) LIBOR-OIS spreads from January 2005 to June 2011. Interestingly, during the global financial crisis period, despite the apparently bidirectional causality-in-mean observed between the two spreads, we find evidence of significant unidirectional causality-in-variance from the EUR to the USD spread, implying information flows driven by the funding behaviors of European financial institutions. On the other hand, during the recent European sovereign debt crisis, we detect no significant causality-in-mean and causality-in-variance between the spreads.