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Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression

Baruník, Jozef - 2013

This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model-free option-implied volatility (MFIV) when assessing the...

Persistent link: https://www.econbiz.de/10013090381

A state-space approach to time-varying reduced-rank regression

Brune, Barbara; Scherrer, Wolfgang; Bura, Efstathia - In: Econometric reviews 41 (2022) 8, pp. 895-917

Persistent link: https://www.econbiz.de/10013364916

Some long-run correlations of inflation in developed countries

West, Kenneth D.; Cao, Tu - In: Economía : revista del Departamento de Economía, … 45 (2022) 89, pp. 1-23

Persistent link: https://www.econbiz.de/10014253593

Estimating long run effects and the exponent of cross-sectional dependence : an update to xtdcce2

Ditzen, Jan - 2021

Persistent link: https://www.econbiz.de/10013179176

Co-movement of real exchange rates in the West African Monetary Zone

Owusu Junior, Peterson; Adam, Anokye M.; Tweneboah, George - In: Cogent economics & finance 5 (2017) 1, pp. 1-18

In three different ways of lead–lag causal relationship, covariance/correlation and coherence, we apply the wavelets …

Persistent link: https://www.econbiz.de/10011882485

Inflation synchronization and shock transmission between the eurozone and the non-Euro CEE economies : a wavelet quantile var approach

Alqaralleh, Huthaifa; Canepa, Alessandra; Muchova, Eva - 2024

Persistent link: https://www.econbiz.de/10014546177

The comovment between money and economic growth in 15 Asia-Pacific countries : wavelet coherency analysis in time-frequency domain

Tsai, Su-Ling; Chang, Tsangyao - In: Romanian journal of economic forecasting 21 (2018) 2, pp. 63-79

Persistent link: https://www.econbiz.de/10012020116

Wavelet multiple correlation and cross-correlation : a multiscale analysis of euro zone stock markets

Fernández Macho, Francisco Javier - 2011

Persistent link: https://www.econbiz.de/10010417906

On the identification of multivariate correlated unobserved components models

Trenkler, Carsten; Weber, Enzo - 2015

This paper analyses identification for multivariate unobserved components models in which the innovations to trend and cycle are correlated. We address order and rank criteria as well as potential non-uniqueness of the reduced-form VARMA model. Identification is shown for lag lengths larger than...

Persistent link: https://www.econbiz.de/10011491916

Gold, oil, and stocks

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

Persistent link: https://www.econbiz.de/10010407524