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Financial friction sources in emerging economies : structural estimation of sovereign default models
Yamazaki, Takefumi - 2018
Persistent link: https://www.econbiz.de/10013272825
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Effects of asset frequency components on value-at-risk in emerging and developed markets : analyses with MODWT and CWT wavelets
Biage, Milton; Nelcide, Pierre Joseph - In: Brazilian review of econometrics : BRE ; the review of … 40 (2020) 1, pp. 145-207
Persistent link: https://www.econbiz.de/10012271374
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Determination of systemically important companies with cross-shareholding network analysis : a case study from an emerging market
Dastkhan, Hossein; Gharneh, Naser Shams - In: International Journal of Financial Studies : open … 4 (2016) 3, pp. 1-17
Systemic risk events constitute an important issue in current financial systems. A leading course of action used to mitigate such events is identification of systemically important agents in order to implement the prudential policies in a financial system. In this paper, a bi-level...
Persistent link: https://www.econbiz.de/10011526787
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Contagion : How to Measure it?
Rigobon, Roberto - 2021
The empirical literature on contagion has mainly measured the propagation of shocks across countries using daily stock markets, interest rates, and exchange rates. Several methodologies have been used for this purpose, however, the properties of the data introduces important limitations on the...
Persistent link: https://www.econbiz.de/10013243366
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Contagion : How to Measure It?
Rigobon, Roberto - 2001
The empirical literature on contagion has mainly measured the propagation of shocks across countries using daily stock markets, interest rates, and exchange rates. Several methodologies have been used for this purpose, however, the properties of the data introduces important limitations on the...
Persistent link: https://www.econbiz.de/10012470611
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Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation
Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20
In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non-linear correlation dependence structure, (ii) Pareto tails to...
Persistent link: https://www.econbiz.de/10012127555
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Systemic Illiquidity Noise-Based Measure - A Solution for Systemic Liquidity Monitoring in Frontier and Emerging Markets
Dziwok, Ewa; Karas, Marta - 2023
The paper presents an alternative approach to measuring systemic illiquidity applicable to countries with frontier and emerging financial markets, where other existing methods are not applicable. We develop a novel Systemic Illiquidity Noise (SIN)-based measure, using the...
Persistent link: https://www.econbiz.de/10014254721
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A model-based measurement device in European fiscal policy-making : the ontology and epistemology of potential output
Heimberger, Philipp; Kapeller, Jakob - 2016
While the development of scientific theories and measurement concepts has always been strongly intertwined, model … this paper, we analyze the ontological and epistemological characteristics of such a model-based measurement device in an … implementation of measurement techniques as well as the application and interpretation of measurement outcomes. …
Persistent link: https://www.econbiz.de/10011779629
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Improving output gap estimation : a bottom-up approach
Rathke, Alexander; Streicher, Sina - 2023
We propose a multivariate Bayesian state space model to identify potential growth and the output gap consistent with the dynamics of the underlying production sectors of the economy and those of inflation and the labor market. Our approach allows us to decompose economic fluctuations and...
Persistent link: https://www.econbiz.de/10014427292
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Stock profiling using time-frequency-varying systematic risk measure
Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29
This study proposes a wavelets approach to estimating time-frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk-profile robustness. Furthermore, we emphasize the effect of an...
Persistent link: https://www.econbiz.de/10014289044