Market risk of BRIC Eurobonds in the financial crisis period

Dimitrios Vortelinos () and Geeta Lakshmi

International Review of Economics & Finance, 2015, vol. 39, issue C, 295-310

Abstract: 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 jump 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 (search for similar items in EconPapers)
JEL-codes: G12 G15 G17 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:39:y:2015:i:c:p:295-310

DOI: 10.1016/j.iref.2015.04.012

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