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1
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009767001
Saved in:
2
A one line derivation of EGARCH
McAleer, Michael
;
Hafner, Christian M.
-
2014
) specification. In addition to
asymmetry
, which captures the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010362978
Saved in:
3
On the invertibility of EGARCH
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2014
) specification can capture
asymmetry
, which refers to the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010384390
Saved in:
4
On the invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2015
-
Revised version: February 2015
) specification can capture
asymmetry
, which refers to the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010477092
Saved in:
5
Information flows around the globe : predicting opening gaps from overnight foreign stock price patterns
Gooijer, Jan G. de
;
Diks, Cees G. H.
;
Gatarek, Lukasz T.
-
2009
This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...
Persistent link: https://www.econbiz.de/10011379456
Saved in:
6
The size effect in value and momentum factors : implications for the cross-section of international stock returns
Atanasov, Victoria
;
Nitschka, Thomas
-
2013
We document a consistent and robust relation between expected equity premia and common risk factors constructed on the basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors capture patterns in returns on regional and global...
Persistent link: https://www.econbiz.de/10010224775
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7
Decoupling economic growth and energy use : an empirical cross-country analysis for 10 manufacturing sectors
Mulder, Peter
;
Groot, Henri L. F. de
-
2004
This paper provides an empirical analysis of decoupling economic growth and energy use and its various determinants by exploring trends in energy- and labour productivity across 10 manufacturing sectors and 14 OECD countries for the period 1970-1997. We explicitly aim to trace back aggregate...
Persistent link: https://www.econbiz.de/10011334858
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8
Sovereign risk and macroeconomic fluctuations in an emerging market economy
Kirchner, Markus
;
Rieth, Malte
-
2010
Persistent link: https://www.econbiz.de/10008670040
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9
Sovereign risk and macroeconomic fluctuations in an emerging market economy
Kirchner, Markus
;
Rieth, Malte
-
2010
This paper assesses the role of sovereign risk in explaining macroeconomic fluctuations in Turkey. We estimate two versions of a simple New Keynesian small open economy model on quarterly data for the period 1994Q3-2008Q2: A basic version and a version augmented by a default premium on...
Persistent link: https://www.econbiz.de/10011382024
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10
Financial fragility, sovereign default risk and the limits to commercial bank bail-outs
Wijnbergen, Sweder van
;
Kwaak, Christiaan van der
-
2013
We analyse the poisonous interaction between bank rescues, financial fragility and sovereign debt discounts. In our model balance sheet constrained financial intermediaries finance both capital expenditure of intermediate goods producers and government deficits. The financial intermediaries face...
Persistent link: https://www.econbiz.de/10010224776
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