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An Analysis of the Catastrophe Bonds Market. Modelling the Volatility of an Index

Author

Listed:
  • CONSTANTIN Laura-Gabriela
  • CERNAT-GRUICI Bogdan
  • IAMANDI Irina-Eugenia

    () (Bucharest Academy of Economic Studies Faculty of International Business and Economics)

Abstract

The catastrophe bonds have become an important asset class of the international financial market and the recent disasters that affected economies all over the world reinforced the need of reflection upon this risk transfer instrument. Within this context, this paper is an attempt of modelling the volatility of a catastrophe bond index, mainly the Swiss Re Total Return Index, through a GARCH approach.

Suggested Citation

  • CONSTANTIN Laura-Gabriela & CERNAT-GRUICI Bogdan & IAMANDI Irina-Eugenia, 2010. "An Analysis of the Catastrophe Bonds Market. Modelling the Volatility of an Index," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 1494-1499, May.
  • Handle: RePEc:ovi:oviste:v:10:y:2010:i:1:p:1494-1499
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    More about this item

    Keywords

    bonds market; volatility; financial environment;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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