Market risk of BRIC Eurobonds in the financial crisis period

Vortelinos, Dimitrios and Lakshmi, Geeta (2015) Market risk of BRIC Eurobonds in the financial crisis period. International Review of Economics and Finance, 39 . pp. 295-310. ISSN 1059-0560

17562 with tables.pdf
17562 with tables.pdf - Whole Document

Item Type:Article
Item Status:Live Archive


The market risk of returns for BRIC Eurobonds has not been thoroughly analyzed via nonparametric estimation methods. The significance of risk and jumps is examined in a monthly sampling frequency. A detailed comparison upon significance of risk and jumps between BRIC Eurobonds is provided. Comparison concerns risk and jumps during the international financial crisis period: February 2007 up to February 2010. Among the BRIC countries, Chinese Eurobonds are the most significant in terms of both risk and jumps. The most significant estimator is the monthly Yang & Zhang range across the set of BRIC Eurobonds. The shorter the expiry period, the higher is the significance of risk and jumps. This is evident in all BRIC Eurobonds. Risk and jumps estimates are higher for theoretical prices rather than for actual prices according to all risk and jump significance measures.

Keywords:BRIC Eurobonds, Risk, Jumps, Bond pricing, Financial crisis, bmjgoldcheck, NotOAChecked
Subjects:N Business and Administrative studies > N300 Finance
N Business and Administrative studies > N341 Financial Risk
Divisions:Lincoln International Business School
Related URLs:
ID Code:17562
Deposited On:03 Jun 2015 09:05

Repository Staff Only: item control page