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Asymptotic Filtering Theory for Multivariate ARCH Models
Nelson, Daniel B. - 1994
, market returns, implicit volatility from options contracts, and other relevant data. We also allow for time-varying shapes of …
Persistent link: https://www.econbiz.de/10012474104
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Risky Oil : It's All in the Tails
Baumeister, Christiane; Huber, Florian; Marcellino, … - National Bureau of Economic Research - 2024
shocks are driven by a stochastic volatility model. We show that our nonparametric approach improves in terms of tail … stochastic volatility, and the simple random walk. We illustrate the practical relevance of our new approach by tracking the …
Persistent link: https://www.econbiz.de/10014544801
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Filtering with Limited Information
Drautzburg, Thorsten; Fernández-Villaverde, Jesús; … - National Bureau of Economic Research - 2024
We propose a new tool to filter non-linear dynamic models that does not require the researcher to specify the model fully and can be implemented without solving the model. If two conditions are satisfied, we can use a flexible statistical model and a known measurement equation to back out the...
Persistent link: https://www.econbiz.de/10014635717
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Spillover Effects from Voluntary Employer Minimum Wages
Derenoncourt, Ellora; Noelke, Clemens; Weil, David; … - National Bureau of Economic Research - 2021
Low unionization rates, a falling real federal minimum wage, and outsourcing have hampered wage growth in the low-wage sector in the US. In recent years, a number of private employers have opted to institute or raise company-wide minimum wages for their employees, sometimes in response to public...
Persistent link: https://www.econbiz.de/10012660103
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Growth Through Heterogeneous Innovations
Akcigit, Ufuk - 2010
and small firms have relatively higher growth spillover effects …
Persistent link: https://www.econbiz.de/10012462146
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Spillovers Across U.S. Financial Markets
Rigobon, Roberto - 2003
Movements in the prices of different assets are likely to directly influence one another. This paper develops a model that identifies the contemporaneous interactions between asset prices in U.S. financial markets by relying on the heteroskedasticity in their movements. In particular, we...
Persistent link: https://www.econbiz.de/10012469058
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When Cryptomining Comes to Town : High Electricity-use Spillovers to the Local Economy
Benetton, Matteo; Compiani, Giovanni; Morse, Adair - National Bureau of Economic Research - 2023
yet-unstudied negative spillover from technology processing to local communities, which would need to be considered …
Persistent link: https://www.econbiz.de/10014322700
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Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
Diebold, Francis X. - 2008
formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …
Persistent link: https://www.econbiz.de/10012464836
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Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets
Ito, Takatoshi - 1993
This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the … foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to … transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns …
Persistent link: https://www.econbiz.de/10012474348
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High-frequency, Algorithmic Spillovers Between NASDAQ and Forex
Ito, Takatoshi - 2015
We empirically examine the order flows spillovers between Nasdaq and the Forex markets in 2008 and 2009. With emphasis on a role of high-frequency traders (HFTs) who aggregate information between the two markets as well as within each market, our results show that HFTs in Nasdaq trade...
Persistent link: https://www.econbiz.de/10012457544