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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

Persistent link: https://www.econbiz.de/10003965868

The interest rate pass-through in the Euro area during the global financial crisis : conference paper

Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - 2013

of Euro area banks to the global financial crisis. We focus on their interest rate setting behavior in response to …

Persistent link: https://www.econbiz.de/10010338974

The interest rate pass-through in the Euro area during the global financial crisis

Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - 2012

of Euro-area banks to the global financial crisis. We focus on their interest-rate setting behavior in response to … explained by a significant increase in the frictions that the banks' business is subject to. -- Euro Area ; global financial …

Persistent link: https://www.econbiz.de/10009631665

Loan supply shocks during the financial crisis : evidence for the Euro Area

Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - 2011

This paper employs a panel vector autoregressive model for the member countries of the Euro Area to explore the role of … crisis. However, concerning both, the timing and the magnitude of the shocks our results also indicate that the Euro Area was … characterized by a considerable degree of cross-country heterogeneity. -- Euro Area ; panel vector autoregressive model ; sign …

Persistent link: https://www.econbiz.de/10009012054

Econometric issues in the analysis of contagion

Pesaran, M. Hashem; Pick, Andreas - 2004

This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion can be distinguished from inter-dependence. In a two-country (market) setup it is shown that for a range of fundamentals the solution is not unique, and for sufficiently large...

Persistent link: https://www.econbiz.de/10011402451

Double-question survey measures for the analysis of financial bubbles and crashes

Pesaran, M. Hashem; Johnsson, Ida - 2016

This paper proposes a new double-question survey method that elicits information about how individuals.subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief regarding...

Persistent link: https://www.econbiz.de/10011586267

Uncertainty shocks and financial crisis indicators

Hristov, Nikolay; Roth, Markus - 2019

empirical analysis we show for a set of four euro area countries that negative uncertainty shocks, while boosting economic …

Persistent link: https://www.econbiz.de/10012103607

A residual-based threshold method for detection of units that are too big to fail in large factor models

Kapetanios, George; Pesaran, M. Hashem; Reese, Simon - 2018

The importance of units with pervasive impacts on a large number of other units in a network has become increasingly recognized in the literature. In this paper we propose a new method to detect such influential or dominant units by basing our analysis on unit-specific residual error variances...

Persistent link: https://www.econbiz.de/10011942707

Variable selection and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …

Persistent link: https://www.econbiz.de/10003807908

Learning, structural instability and present value calculations

Pesaran, M. Hashem (contributor); … - 2006

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

Persistent link: https://www.econbiz.de/10003300967