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Common correlated effects estimation of heterogeneous dynamic panel quantile regression models
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
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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
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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
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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
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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
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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
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How new airport infrastructure promotes tourism : evidence from a synthetic control approach in German regions
Dörr, Luisa; Dorn, Florian; Gäbler, Stefanie; … - 2019
We examine how new airport infrastructure influences regional tourism. Identification is based on the conversion of a military air base into a regional commercial airport in the German state of Bavaria. The new airport opened in 2007 and promotes travelling to the touristic region Allgäu in the...
Persistent link: https://www.econbiz.de/10012157335
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EU cohesion policy on the ground : analyzing small-scale effects using satellite data
Bachtrögler, Julia; Dolls, Mathias; Krolage, Carla; … - 2022
We present a novel approach for analyzing the effects of EU cohesion policy on local economic activity. For all municipalities in the border area of the Czech Republic, Germany and Poland, we collect project-level data on EU funding in the period between 2007 and 2013. Using night light emission...
Persistent link: https://www.econbiz.de/10013426556
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The impact of China's "stadium diplomacy" on local economic development in Sub-Saharan Africa
Lindlacher, Valentin; Pirich, Gustav - 2024
This study investigates the economic impact of China's "stadium diplomacy" in Sub-Saharan Africa. Exploiting the staggered timing of the construction in a difference-in-differences framework, we analyze the effect of Chinese-built and financed stadiums on local economic development. Employing...
Persistent link: https://www.econbiz.de/10014456170
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Weak and strong cross section dependence and estimation of large panels
Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa - 2009
This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...
Persistent link: https://www.econbiz.de/10003854425