Narrow search
Showing 1 - 10 of 477
Cover Image
Macro-Financial Linkages in the High-Frequency Domain : The Effects of Uncertainty on Realized Volatility
Caporale, Guglielmo Maria - 2020
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …
Persistent link: https://www.econbiz.de/10012844423
Cover Image
Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R. - 2018
We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage portfolio returns for four well-known...
Persistent link: https://www.econbiz.de/10012908691
Cover Image
Persistence in High Frequency Financial Data
Caporale, Guglielmo Maria; Plastun, Alex - 2022
This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...
Persistent link: https://www.econbiz.de/10014242794
Cover Image
Great Volatility and Great Moderation
Grazzini, Jakob - 2019
We investigate the sources of the great changes in GDP volatility observed from 1966 to 2000. We develop a general …-sectoral linkages and households' behavior to aggregate volatility. Our results show that changes in sectoral volatility played an … important role in shaping volatility at the aggregate level. Moreover, asymmetries in the economic structure sometimes had an …
Persistent link: https://www.econbiz.de/10012892302
Cover Image
Financial markets and economic growth in Poland : simulations with an econometric model
Wdowiński, Piotr - 2005
In this paper we present simulations of economic performance of the Polish economy based on a quarterly econometric model. The model consists of 22 stochastic equations, which link the financial market with the real economy. The purpose of the research is to present effects of changes to...
Persistent link: https://www.econbiz.de/10010277058
Cover Image
Financial Integration and Economic Growth in Europe
Caporale, Guglielmo Maria; Sova, Anamaria; Sova, Robert - 2023
This study examines the impact of financial integration on economic growth in the case of 31 European countries over the period from 2000 to 2021 using dynamic panel data models. The estimation results provide evidence of significant positive effects of financial integration on economic growth....
Persistent link: https://www.econbiz.de/10014346251
Cover Image
Top Lights - Bright Cities and Their Contribution to Economic Development
Bluhm, Richard - 2019
The commonly-used satellite images of nighttime lights fail to capture the true brightness of most cities. We show that night lights are a reliable proxy for economic activity at the city level, provided they are first corrected for top-coding. We present a stylized model of urban luminosity and...
Persistent link: https://www.econbiz.de/10012892172
Cover Image
Impact of Colonial Institutions on Economic Growth and Development in India : Evidence from Night Lights Data
Ranjan, Priya; Talathi, Karan - 2021
We study the implications of two historical institutions, direct British rule, and the heterogeneous land tenure institutions implemented by the British, on disparity in present day development using district level data from India. Using nightlights per capita as a proxy for district level per...
Persistent link: https://www.econbiz.de/10013231963
Cover Image
Devotion and Development : Religiosity, Education, and Economic Progress in 19th-Century France
Squicciarini, Mara - 2020
This paper studies when religion can hamper diffusion of knowledge and economic development and through which mechanism. I examine Catholicism in France during the Second Industrial Revolution (1870-1914). In this period, technology became skill-intensive, leading to the introduction of...
Persistent link: https://www.econbiz.de/10012848322
Cover Image
Asymmetry in volatility: A comparison of developed and transition stock markets
Wdowiński, Piotr; Malecka, Marta - 2010
describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …
Persistent link: https://www.econbiz.de/10010270556