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VC : a method for estimating time-varying coefficients in linear models

Schlicht, Ekkehart - 2020

This paper describes a moments estimator for a standard state-space model with coefficients generated by a random walk. A penalized least squares estimation is linked to the GLS (Aitken) estimates of the corresponding linear model with time-invariant parameters. The VC estimates are moments...

Persistent link: https://www.econbiz.de/10012161405

A survey of hedge and safe havens assets against G-7 stock markets before and during the COVID-19 pandemic

Ozdemir, Huseyin; Ozdemir, Zeynel Abidin - 2021

We propose a new Sharpe ratio index obtained from return and volatility spillover indices to individual assets from the …-7 stock markets by using daily return and volatility data from September 2013 to October 2021. Our empirical findings …

Persistent link: https://www.econbiz.de/10012705552

Global macro-financial cycles and spillovers

Ha, Jongrim; Kose, M. Ayhan; Otrok, Christopher M.; … - 2020

We develop a new dynamic factor model that allows us to jointly characterize global macroeconomic and financial cycles and the spillovers between them. The model decomposes macroeconomic cycles into the part driven by global and country-specific macro factors and the part driven by spillovers...

Persistent link: https://www.econbiz.de/10012178610

Effectives of monetary policy under the high and low economic uncertainty states: evidence from the major Asian economies

Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Ozdemir, Huseyin - 2021

, and South Korea) using a quantile vector autoregression (QVAR) model-based spillover estimation approach of Balcilar et al …. (2020b) at different quantile paths. To do this, we first obtain the spillover index from interest rate to industrial …

Persistent link: https://www.econbiz.de/10012549189

Volatility spillover between oil prices and main exchange rates : evidence from a DCC-GARCH-connectedness approach

Ben Salem, Leila; Zayati, Montassar; Nouira, Ridha; … - 2024

contagion spillover volatility by focusing on a sample of major oil-exporting and oil-importing countries using daily data from …; during COVID-19; and during the Russian-Ukrainian war. Our results confirm the persistence of volatility for the series …-exporting countries. Firstly, we estimated the total static spillover index based on vector autoregressive (VAR) models. Secondly, we …

Persistent link: https://www.econbiz.de/10014494631

Is bigger still better? : the decline of the wage premium at large firms

Even, William E.; Macpherson, David A. - 2009

This study shows that the wage premium paid by large firms fell over the past 20 years and that the decline in the size premium has been most pronounced among the least educated work force. Empirical evidence supports several explanations for the decline in the size premium. First, there has...

Persistent link: https://www.econbiz.de/10003829117

Large employers are more cyclically sensitive

Moscarini, Giuseppe; Postel-Vinay, Fabien - 2009

We provide new evidence that large firms or establishments are more sensitive than small ones to business cycle conditions. Larger employers shed proportionally more jobs in recessions and create more of their new jobs late in expansions, both in gross and net terms. The differential growth rate...

Persistent link: https://www.econbiz.de/10003810872

Nudging in complex environments

Koch, Alexander K.; Monster, Dan; Nafziger, Julia - 2023

negative spillover effect persists, while the positive effect partially fades out so that, overall, reminders have no effect. …

Persistent link: https://www.econbiz.de/10014279732

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram (contributor); … - 2007

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …

Persistent link: https://www.econbiz.de/10003586562

Identifying the common component of international economic fluctuations : a new approach

Lumsdaine, Robin L.; Prasad, Eswar S. - 2002

In this paper, we develop an aggregation procedure using time-varying weights for constructing the common component of international economic fluctuations. The methodology for deriving time-varying weights is based on some stylized features of the data documented in the paper. The model allows...

Persistent link: https://www.econbiz.de/10011411238

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