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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 - 2010
Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...
Persistent link: https://www.econbiz.de/10003965868
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Stock market integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by …
Persistent link: https://www.econbiz.de/10003942221
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Networks of volatility spillovers among stock markets
Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017
In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...
Persistent link: https://www.econbiz.de/10011654569
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Price equalization does not imply free trade
Mutreja, Piyusha; Ravikumar, B.; Riezman, Raymond Glenn; … - 2013
In this paper we show that price equalization alone is not sufficient to determine the barriers to international trade. There are many barrier combinations that deliver price equalization, but each combination implies a different volume of trade. We demonstrate this first theoretically in a...
Persistent link: https://www.econbiz.de/10009700288
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Systemic risk in banking, fire sales, and macroeconomic disasters
Bougheas, Spiros P.; Harvey, David I.; Kirman, Alan P.; … - 2024
We develop a dynamic computational network model of the banking system where fire sales provide the amplification mechanism of financial shocks. Each period a finite number of banks offers a large, but finite, number of loans to households. Banks with excess liquidity also offer loans to other...
Persistent link: https://www.econbiz.de/10014490902
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Disorganization and financial collapse
Marin, Dalia; Schnitzer, Monika - 2000
credit enforcement is prohibitively costly. The theory helps to explain how the three observed phenomena of output decline …
Persistent link: https://www.econbiz.de/10009781618
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Credit booms, debt overhang and secular stagnation
Illing, Gerhard; Ono, Yoshiyasu; Schlegl, Matthias - 2017
Why do advanced economies fall into prolonged periods of economic stagnation, particularly in the aftermath of credit booms? We present a model of persistent aggregate demand shortage based on strong liquidity preferences of households, in which we incorporate financial imperfections to study...
Persistent link: https://www.econbiz.de/10011774952
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A rise by any other name? : sensitivity of growth regressions to data source
Hanousek, Jan (contributor); Hajkova, Dana (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003499719
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Measurement error in education and growth regressions
Portela, Miguel (contributor); Alessie, Rob (contributor);  … - 2006
The perpetual inventory method used for the construction of education data per country leads to systematic measurement … error. This paper analyses the effect of this measurement error on GDP regressions. There is a systematic difference in the … the measurement error. The standard attenuation bias suggests that using these corrected data would lead to a higher …
Persistent link: https://www.econbiz.de/10003301163
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The Warsaw Stock Exchange index WIG : modelling and forecasting
Wdowinski, Piotr (contributor);  … - 2005
In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...
Persistent link: https://www.econbiz.de/10003202866