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Risk matters : a comment
Born, Benjamin; Pfeifer, Johannes - 2014
rate risk shock increases by 63 percent and the contribution of interest rate risk shocks to business cycle volatility more …
Persistent link: https://www.econbiz.de/10010354846
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Sectoral uncertainty
Castelnuovo, Efrem; Tuzcuoglu, Kerem; Uzeda, Luis - 2022
We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial production series for the US economy. Our results...
Persistent link: https://www.econbiz.de/10013419275
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Modelling volatility of cryptocurrencies using Markov-switching GARCH models
Caporale, Guglielmo Maria; Zekokh, Timur - 2018
This paper aims to select the best model or set of models for modelling volatility of the four most popular …
Persistent link: https://www.econbiz.de/10011882344
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A probabilistic solution to high-dimensional continuous-time macro and finance models
Ji, Huang - 2023
This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential equations (SDE) govern the dynamics of backward-looking variables, and backward SDEs capture that of forward-looking variables. Deep learning streamlines the search for the...
Persistent link: https://www.econbiz.de/10014331249
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The short-term effects of generative artificial intelligence on employment : evidence from an online labor market
Hui, Xiang; Reshef, Oren; Zhou, Luofeng - 2023
Generative Artificial Intelligence (AI) holds the potential to either complement knowledge workers by increasing their productivity or substitute them entirely. We examine the short-term effects of the recent release of the large language model (LLM), ChatGPT, on the employment outcomes of...
Persistent link: https://www.econbiz.de/10014323255
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …
Persistent link: https://www.econbiz.de/10010249640
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Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models
Lütkepohl, Helmut; Netšunajev, Aleksei - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …
Persistent link: https://www.econbiz.de/10010509631
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Jump processes in natural gas markets
Mason, Charles F.; Wilmot, Neil - 2014
Natural gas is likely to become increasingly important in the future. Understanding the stochastic underpinnings of natural gas prices will be critical, both to policy analysts and to market participants. To this end, we investigate the potential presence of jumps in natural gas spot prices in...
Persistent link: https://www.econbiz.de/10010235818
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Is market fear persistent? : a long-memory analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017
This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the sample period 2004-2016, as well as some...
Persistent link: https://www.econbiz.de/10011669019
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Energy markets and global economic conditions
Baumeister, Christiane; Korobilis, Dimitris; Lee, Thomas - 2020
This paper evaluates alternative indicators of global economic activity and other market fundamentals in terms of their usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production is one of the most useful indicators that has been...
Persistent link: https://www.econbiz.de/10012213172