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Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts

Dovern, Jonas; Manner, Hans - 2018

Established tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms can be manipulated by changing the order of variables in the forecasting model. We derive order invariant tests. The new tests are applicable to densities of arbitrary...

Persistent link: https://www.econbiz.de/10011872080

Uncertainty and Monetary Policy in Good and Bad Times : A Replication of the VAR Investigation by Bloom (2009)

Caggiano, Giovanni - 2020

This paper revisits the well-known VAR evidence on the real effects of uncertainty shocks by Bloom (Econometrica 2009(3): 623-685. doi: 10.3982/ECTA6248). We replicate the results in a narrow sense using Eviews. In a wide sense, we extend his study by working with a smooth transition-VAR...

Persistent link: https://www.econbiz.de/10012824829

The pungent smell of 'red herrings': Subsoil assets, rents, volatility and the resource curse

van der Ploeg, Frederick; Poelhekke, Steven - 2010

volatility channel, may lead one to erroneously conclude that there is no effect of resources on growth. …

Persistent link: https://www.econbiz.de/10010270478

Natural resources: Curse or blessing?

van der Ploeg, Frederick - 2010

Are natural resources a 'curse' or a 'blessing'? The empirical evidence suggests either outcome is possible. The paper surveys a variety of hypotheses and supporting evidence for why some countries benefit and others lose from the presence of natural resources. These include that a resource...

Persistent link: https://www.econbiz.de/10010270490

The volatility curse: revisiting the paradox of plenty

van der Ploeg, Frederick; Poelhekke, Steven - 2009

The volatility of unanticipated output growth in income per capita is detrimental to long-run development, controlling …. This effect is significant and robust over a wide range of specifications. We unravel the effects of volatility by opening … dependence, physical and institutional barriers to trade and associated policy shocks increase volatility sharply and harm growth …

Persistent link: https://www.econbiz.de/10010276228

Exponent of cross-sectional dependence: Estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10010280808

Tracing the Genesis of Contagion in the Oil-Finance Nexus

Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2019

A new procedure to trace the sources of contagion in the oil-finance nexus is proposed. We do this by consolidating veteran rules derived from the empirical oil literature to filter oil supply, global demand, and oil demand shocks into discrete typical and extreme conditions. We show how these...

Persistent link: https://www.econbiz.de/10012179724

Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras

Wadud, Sania; Durand, Robert B.; Gronwald, Marc - 2021

volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after ….e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting …

Persistent link: https://www.econbiz.de/10012657908

Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management

Pesaran, Mohammad Hashem; Zaffaroni, Paolo - 2004

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the …-tailed than if based on an individual underlying model with the same average volatility. Evaluation of volatility models is also …

Persistent link: https://www.econbiz.de/10010276158

Forecasting nonlinear aggregates and aggregates with time-varying weights

Luetkepohl, Helmut - 2010

Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are time-varying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed, time-invariant aggregation weights. In this study a...

Persistent link: https://www.econbiz.de/10010270456

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