Search results for "Financial Markets"

Sustainable and Conventional Banking in Europe

2020

At the end of the 20th century a new banking model, the so-called ethical banking, emerged becoming the maximum exponent of a socially responsible investment. The financial crisis in 2008 led to a distrust of the conventional financial system and consequently investors began to look with interest this new banking, which only invests in ethical activities and products, with social and environmental criteria, total transparency and a democratic management. The aim of this article is to analyze the economic structure of ethical banking, compared to that of conventional banking, by paying attention to its liquidity, coverage and solvency. Specifically, We compare the financial statements of Tri…

Essays on emerging financial markets, political institutions and development differences

2014

Multiscale Model Selection for High-Frequency Financial Data of a Large Tick Stock by Means of the Jensen–Shannon Metric

2014

Modeling financial time series at different time scales is still an open challenge. The choice of a suitable indicator quantifying the distance between the model and the data is therefore of fundamental importance for selecting models. In this paper, we propose a multiscale model selection method based on the Jensen–Shannon distance in order to select the model that is able to better reproduce the distribution of price changes at different time scales. Specifically, we consider the problem of modeling the ultra high frequency dynamics of an asset with a large tick-to-price ratio. We study the price process at different time scales and compute the Jensen–Shannon distance between the original…

Determinants of Sub-Sovereign Government Ratings In Europe

2017

The aim of this paper is to identify the determinantsof the rating assigned to sub-sovereignentities in Germany, Austria, Belgium, France,Italy and Spain, using a total of 92 territorial entitiesfor the 1989-2012 period. Multinomial orderedprobit estimation models were estimatedfor each specifi cation and agency.We conclude that the country’s rating is oneof the most important determinants of regionalgovernment’s ratings with a positive infl uence(as expected), and that the country debt/GDPratio is a stronger determinant for regions thantheir own indebtedness with a negative sign.Other relevant variables are population growthrate, unemployment rate, elderly people weight,regional public exp…

Volatility transmission patterns and terrorist attacks

2009

The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the effects of the September 11, March 11 and July 7 financial crises. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the crises themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the crisis effect. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impact that terrorist attacks had on both markets. El objetivo d…

Mineral profiles of legumes and fruits through partial least squares energy dispersive X-ray fluorescence

2019

Abstarct Energy dispersive X-ray fluorescence (ED-XRF) has been employed for the determination of mineral elements in 15 varieties of legumes and 14 cherry samples. ED-XRF signals directly obtained from pulverized samples were modelized by partial least squares (PLS) using Inductively Coupled Plasma Optical Emission Spectrometry (ICP-OES) of a selected number of samples, after microwave assisted acid digestion, as reference data. Models were built to predict the concentration of Al, Ca, Cu, Fe, K, Mg, P, Sr and Zn. Average concentrations predicted were 6, 930, 7, 40, 6400, 990, 2100, 4 and 15 μg g−1 for Al, Ca, Cu, Fe, K, Mg, P, Sr and Zn, respectively with relative errors from 7 till 26%. …

Determinants of current account balances

2011

Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics

2015

The new digital revolution of big data is deeply changing our capability of understanding society and forecasting the outcome of many social and economic systems. Unfortunately, information can be very heterogeneous in the importance, relevance, and surprise it conveys, affecting severely the predictive power of semantic and statistical methods. Here we show that the aggregation of web users' behavior can be elicited to overcome this problem in a hard to predict complex system, namely the financial market. Specifically, our in-sample analysis shows that the combined use of sentiment analysis of news and browsing activity of users of Yahoo! Finance greatly helps forecasting intra-day and dai…

Towards a new generation of high-resolution meteorological input data for small-scale hydrologic modeling

2011

Summary Current and future challenges of hydrologic sciences are to accurately predict and assess climate-driven impacts on water resources for the relevant scales of planning. However, process-based small-scale hydrologic modeling is data demanding and large uncertainties exist in data-sparse areas. The aim of our study was to test the applicability of the COSMO-DE analysis data (COSMO-DE-A) for hydrologic modeling. COSMO-DE-A data are a new meteorological data set with high temporal and spatial resolution that originates from the German Weather Service data assimilation system using the COSMO-DE weather prediction model. We collected field parameters in a small (10 km 2 ) mountainous catc…

Synergistic Information Transfer in the Global System of Financial Markets.

2020

Uncovering dynamic information flow between stock market indices has been the topic of several studies which exploited the notion of transfer entropy or Granger causality, its linear version. The output of the transfer entropy approach is a directed weighted graph measuring the information about the future state of each target provided by the knowledge of the state of each driving stock market index. In order to go beyond the pairwise description of the information flow, thus looking at higher order informational circuits, here we apply the partial information decomposition to triplets consisting of a pair of driving markets (belonging to America or Europe) and a target market in Asia. Our …