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Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate

Balaban, Ercan - 1999

Persistent link: https://www.econbiz.de/10001399838

Khalil, Makram; Weber, Marc-Daniel - 2022

In structural vector autoregressive models of United States and euro area manufacturing, we use sign restrictions to identify shocks that alter the frictions to Chinese supply chain trade. We find a quantitatively significant role of such shocks for the decline of US manufacturing output at the...

Persistent link: https://www.econbiz.de/10013459723

Assessing the extent of EU-Russia trade integration in the presence of global value chains

Beņkovskis, Konstantīns; Pastušenko, Jūlija; Wörz, … - 2014

Persistent link: https://www.econbiz.de/10011438243

The great collapse in value added trade

Nagengast, Arne J.; Stehrer, Robert - 2015

This paper studies the great collapse in value added trade using a structural decomposition analysis. We show that changes in vertical specialisation accounted for almost half of the great trade collapse, while the previous literature on gross trade has mainly focused on final expenditure,...

Persistent link: https://www.econbiz.de/10011419613

Modelling of foreign trade in applied general equilibrium models : theoretical approaches and sensitivity analysis with the GEM-E3 model

Koschel, Henrike; Schmidt, Tobias F. N. - 1998

world's export supply function in which a constant finite price elasticity is introduced. The second change concerns the …

Persistent link: https://www.econbiz.de/10013428143

On the time varying risk premium in the yen/dollar exchange market

Canova, Fabio; Ito, Taketoshi - 1987

Persistent link: https://www.econbiz.de/10003508439

Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets

Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999

Persistent link: https://www.econbiz.de/10001399859

On the volatility of cryptocurrencies

Stengos, Thanasēs; Panagiōtidēs, Theodōros; … - 2022

Persistent link: https://www.econbiz.de/10012938838

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

Persistent link: https://www.econbiz.de/10011663407

Oil price shocks and stock return volatility : new evidence based on volatility impulse response analysis

Eraslan, Sercan; Ali, Faek Menla - 2018

We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the … persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and …

Persistent link: https://www.econbiz.de/10011903691

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