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Inference on the maximal rank of time-varying covariance matrices using high-frequency data
Reiß, Markus; Winkelmann, Lars - 2021
rank estimation method via sequential testing. For a class of stochastic volatility models, we determine data …
Persistent link: https://www.econbiz.de/10012655380
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Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny - 2020
Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical … indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …
Persistent link: https://www.econbiz.de/10012250452
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Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?
Cebirogly, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2017
We show that the excessive use of hidden orders causes artificial price pressures and abnormal asset returns. Using a simple game-theoretical setting, we demonstrate that this effect naturally arises from mis-coordination in trading schedules between traders, when suppliers of liquidity do not...
Persistent link: https://www.econbiz.de/10011697233
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Analyzing business and financial cycles using multi-level factor models
Breitung, Jörg; Eickmeier, Sandra - 2014
This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero restrictions on the associated matrix of factor loadings. We suggest a sequential least squares algorithm for minimizing the total sum of squared residuals and a two-step approach based...
Persistent link: https://www.econbiz.de/10010373684
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Do correlated defaults matter for CDS premia? : an empirical analysis
Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010405475
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Spatial multivariate regressions with panel data
Mendonça, Mário Jorge Cardoso de; Medrano, Luis … - 2016
spatial correlation. The analysis of panel data introduced here allows us to analyze not only the fixed effect but also the …
Persistent link: https://www.econbiz.de/10012059270
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Time-varying volatility estimates in option pricing : can superior estimates be obtained?
Brailsford, Timothy J.; Oliver, Barry R. - 1993 - 1. draft
Persistent link: https://www.econbiz.de/10000889671
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On the international dimension of fiscal policy
Benigno, Gianluca (contributor);  … - 2009
economy, the introduction of sticky prices can reduce the optimal volatility of taxes. …
Persistent link: https://www.econbiz.de/10003867915
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Search frictions, real rigidities and inflation dynamics
Thomas, Carlos (contributor) - 2007
The standard New Keynesian model suffers from the so-called .macro-micro pricing conflict: in order to match the dynamics of inflation implied by macroeconomic data, the model needs to assume an average duration of price contracts which is much longer than what is observed in micro data. Here I...
Persistent link: https://www.econbiz.de/10003546364
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Technological deversification
Koren, Miklós (contributor); Tenreyro, Silvana (contributor) - 2007
Persistent link: https://www.econbiz.de/10003546371