Showing 1 - 10 of 276
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010515402
describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns … ; volatility ; stock market ; transition …
Persistent link: https://www.econbiz.de/10003942099
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
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
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
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
. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …
Persistent link: https://www.econbiz.de/10011619676
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
We propose a demand estimation method that allows researchers to estimate substitution patterns from unstructured image and text data. We first employ a series of machine learning models to measure product similarity from products' images and textual descriptions. We then estimate a nested logit...
Persistent link: https://www.econbiz.de/10014383684
Individuals urbanize when the net benefits to urbanization exceed rural living conditions. Body mass, height, and weight are welfare measures that reflect the net difference between calories consumed and calories required for work and to withstand the physical environment. Nineteenth and early...
Persistent link: https://www.econbiz.de/10014383762