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Cyclical correlations, credit contagion, and portfolio losses
Giesecke, Kay (contributor); Weber, Stefan (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919109
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Common cycles : a frequency domain approach
Breitung, Jörg; Candelon, Bertrand - 2000
In this paper we decompose the Serial Correlation Common Feature (SCCF) of Engle and Kozicki (1993) in the frequency … series with a zero spectral density at some frequency. Estimation and inference can be performed using an Instrumental … Variables (IV) approach or a Canonical Correlation Analysis (CCA). The asymptotic and finite sample properties are studied and …
Persistent link: https://www.econbiz.de/10009612024
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Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang; Schmidt, Peter - 2000
Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to 1997, we derive common factors representing "shift" and "curvature" of the...
Persistent link: https://www.econbiz.de/10009612026
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Transport growth in question
1993
Persistent link: https://www.econbiz.de/10014009357
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Forecasting the real output using fractionally integrated techniques
Gil-Alaña, Luis A. - 2001
The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show that the series can be specified in terms of I(d) statistical models with d...
Persistent link: https://www.econbiz.de/10009613608
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(Re)Distribution of personal incomes, education and economic performances across countries
Rehme, Günther (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001660157
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Inequality and economic growth : the empirical relationship reconsidered in the light of comparable data
Knowles, Stephen Mark (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001630182
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Growth regression and counterfactual income dynamics
Desdoigts, Alain - 2000
Persistent link: https://www.econbiz.de/10009611551
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Testing for short and long-run causality : the case of the yield spread and economic growth
Breitung, Jörg; Candelon, Bertrand - 2001
To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...
Persistent link: https://www.econbiz.de/10009617950
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The determinants of economic performance in transitional economies : the roles of ownership, incentives and restructuring
Jones, Derek Charles - 1997
Persistent link: https://www.econbiz.de/10013274928