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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - In: Economic modelling 27 (2010) 6, pp. 1398-1416

Persistent link: https://www.econbiz.de/10008825760

Making World Heritage Truly Global : The Culture Certificate Scheme

Frey, Bruno S. - 2014

Culture has attributes of a global public good that needs to be preserved for mankind as a whole. World Culture … Certificates are proposed to efficiently preserve World Heritage. The community of nations has to agree on the Global Heritage List … and how much each nation is to contribute to that purpose. Each World Heritage site conserved is acknowledged through the …

Persistent link: https://www.econbiz.de/10013070880

Aleatoric Democracy

Frey, Bruno S. - 2017

Democracy usually is identified by the right to vote. However, in recent times voting procedures have been criticized, as they seemingly do not guarantee that all parts of the population have an adequate voice in the established political process. We suggest invigorating an old but nearly...

Persistent link: https://www.econbiz.de/10012964771

Exploring the International Linkages of the Euro Area : A Global VAR Analysis

Dees, Stephane - 2006

This paper presents a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model. This global VAR is estimated for 26 countries, the euro area...

Persistent link: https://www.econbiz.de/10012783809

Is There a Debt-Threshold Effect on Output Growth?

Chudik, Alexander - 2015

This paper studies the long-run impact of public debt expansion on economic growth and investigates whether the debt-growth relation varies with the level of indebtedness. Our contribution is both theoretical and empirical. On the theoretical side, we develop tests for threshold effects in the...

Persistent link: https://www.econbiz.de/10013019040

Country-Specific Oil Supply Shocks and the Global Economy : A Counterfactual Analysis

Mohaddes, Kamiar - 2015

This paper investigates the global macroeconomic consequences of country-specific oil-supply shocks. Our contribution is both theoretical and empirical. On the theoretical side, we develop a model for the global oil market and integrate this within a compact quarterly model of the global economy...

Persistent link: https://www.econbiz.de/10013021694

Oil Prices and the Global Economy : Is it Different this Time Around?

Mohaddes, Kamiar - 2016

The recent plunge in oil prices has brought into question the generally accepted view that lower oil prices are good for the US and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a fall in oil prices tends relatively quickly to lower...

Persistent link: https://www.econbiz.de/10012985449

World Heritage : Where are We? An Empirical Analysis

Frey, Bruno S.; Pamini, Paolo - 2021

An empirical overview of the UNESCO World Heritage List according to various characteristics is presented. The … officially stated intention of the World Heritage List is to protect global heritage. Our focus is on the imbalance of the … considered “balanced” from different points of view. It turns out that the World Heritage List is unbalanced with respect to a …

Persistent link: https://www.econbiz.de/10013316269

Do Rankings Reflect Research Quality?

Frey, Bruno S.; Rost, Katja - 2021

Publication and citation rankings have become major indicators of the scientific worth of universities and countries, and determine to a large extent the career of individual scholars. We argue that such rankings do not effectively measure research quality, which should be the essence of...

Persistent link: https://www.econbiz.de/10013316452

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...

Persistent link: https://www.econbiz.de/10013316571