Showing 1 - 10 of 2,149
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
, in the U.S. and Germany, in the period 1990-2024. Specifically, we focus on the lowest 5% quantile of stock returns and … periods of heightened volatility. We also measure causality in volatilities extending well-known approaches analyzing … volatility transmission. We find significant cross-market relationships between U.S. and German stock and bond markets …
Persistent link: https://www.econbiz.de/10015197299
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10009488893
Well known CPI of urban consumers is never revised. Recently initiated chained CPI is initially released every month (ICPI), for that month without delay within BLS and for the previous month with one month delay to the public. Final estimates of chained CPI (FCPI) are released every February...
Persistent link: https://www.econbiz.de/10011474973
We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short-run dynamics. We distinguish between strong and...
Persistent link: https://www.econbiz.de/10011398127
In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise...
Persistent link: https://www.econbiz.de/10011900761
) 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
Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …
Persistent link: https://www.econbiz.de/10003942221
volatility …
Persistent link: https://www.econbiz.de/10003749656
in the volatility, from the largest market of Saudi Arabia to Qatar and the two markets in the UAE, which confirms that …
Persistent link: https://www.econbiz.de/10012026436