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Variable selection in high dimensional linear regressions with parameter instability

Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2023

variable as well as the correlation of the covariates in the active set are allowed to vary over time, without committing to …

Persistent link: https://www.econbiz.de/10013494088

Harding, Matthew C.; Lamarche, Carlos; Pesaran, M. Hashem - 2018

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under … new quantile regression estimator. Monte Carlo studies are carried out to study the small sample behavior of the proposed …

Persistent link: https://www.econbiz.de/10011898624

Contagion testing in embryonic markets under alternative stressful US market scenarios

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

We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete conditions of: (1) Tranquil versus turbulent...

Persistent link: https://www.econbiz.de/10012156543

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/10012120201

Connectedness between the crude oil futures and equity markets during the pre- and post-financialisation eras

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

This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects...

Persistent link: https://www.econbiz.de/10012599014

Energy contagion analysis : a new perspective with application to a small petroleum economy

Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2018

in energy markets, and test for this using standard correlation measures and recently proposed adjusted correlation, co …

Persistent link: https://www.econbiz.de/10011922053

Exchange rates and sovereign risk : a nonlinear approach based on local Gaussian correlations

Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2024

Crisis, the COVID-19 pandemic and the Ukrainian War. Using the most recent developments in local Gaussian partial correlation …

Persistent link: https://www.econbiz.de/10014505308

The learning process and technological change in wind power : evidence from China's CDM wind project

Tang, Tian; Popp, David - 2014

The Clean Development Mechanism (CDM) is a project-based carbon trade mechanism that subsidizes the users of climate-friendly technologies and encourages technology transfer. The CDM has provided financial support for a large share of Chinese wind projects since 2002. Using pooled...

Persistent link: https://www.econbiz.de/10010257289

Productivity spillovers among knowledge workers in agglomerations : evidence from GitHub

El-Komboz, Lena Abou; Fackler, Thomas; Goldbeck, Moritz - 2024

Software engineering is prototypical of knowledge work in the digital economy and exhibits strong geographic concentration, with Silicon Valley as the epitome of a tech cluster. We investigate productivity effects of knowledge worker agglomeration. To overcome existing measurement challenges, we...

Persistent link: https://www.econbiz.de/10015048324

Gender stereotypes and homophily in team formation

Cabrales, Antonio; Ductor, Lorenzo; Rascón-Ramírez, Ericka - 2025

Women often find themselves in teams that hinder their productivity and earnings. We analyze the role of homophily and gender stereotypes in preferences for team formation and examine the effect of information on changing these preferences. We find that women are expected to perform better in...

Persistent link: https://www.econbiz.de/10015323402