Narrow search
Showing 1 - 10 of 1,275
Cover Image
Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - 2010
return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …
Persistent link: https://www.econbiz.de/10003965868
Cover Image
A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model
Chudik, Alexander; Mohaddes, Kamiar; Pesaran, M. Hashem; … - 2020
Covid-19. We show that there exist threshold effects in the relationship between output growth and excess global volatility …
Persistent link: https://www.econbiz.de/10012293790
Cover Image
High and low prices and the range in the European stock markets : a long-memory approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019
This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...
Persistent link: https://www.econbiz.de/10012022262
Cover Image
Oil prices and GCC stock markets : new evidence from smooth transition models
Cheikh, Nidhaleddine Ben; Ben Naceur, Samy; Kanaan, … - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10011859438
Cover Image
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
Cover Image
The transmission of German monetary policy in the pre-Euro period
Lütkepohl, Helmut; Wolters, Jürgen - 2001
A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the...
Persistent link: https://www.econbiz.de/10011400913
Cover Image
The effects of physical and transition climate risk on stock markets : some multi-country evidence
Albanese, Marina; Caporale, Guglielmo Maria; Colella, Ida; … - 2024
This paper examines the impact of transition and physical climate risk on stock markets using, for the first time in this context, the annual CCPI index calculated by Germanwatch as well as its components (in addition to a wide range of other indices) for 48 countries from 2007 to 2023....
Persistent link: https://www.econbiz.de/10014564303
Cover Image
A high-low model of daily stock price ranges
Cheung, Stephen Y. L. (contributor);  … - 2008
We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration … volatility …
Persistent link: https://www.econbiz.de/10003749656
Cover Image
Identifying uncertainty shocks using the price of gold
Piffer, Michele; Podstawski, Maximilian - 2017
We propose a new instrument to identify uncertainty shocks in a SVAR model with external instruments. The instrument is constructed by exploiting variations in the price of gold around events that capture periods of changes in uncertainty. The variations in the price of gold around the events...
Persistent link: https://www.econbiz.de/10011602536
Cover Image
Economic policy uncertainty spillovers in booms and busts
Caggiano, Giovanni; Castelnuovo, Efrem; Figueres, Juan … - 2018
We estimate a nonlinear VAR to quantify the impact of economic policy uncertainty shocks originating in the US on the Canadian unemployment rate in booms and busts. We find strong evidence in favor of asymmetric spillover effects. Unemployment in Canada is shown to react to uncertainty shocks in...
Persistent link: https://www.econbiz.de/10011862894