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When the market drives you crazy : stock market returns and fatal car accidents

Guilietti, Corrado; Tonin, Mirco; Vlassopoulos, Michael - 2018

daily stock market returns is associated with a 0.5% increase in the number of fatal accidents. A battery of falsification …

Persistent link: https://www.econbiz.de/10011893801

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10009530816

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 whole financial system. We use our new approach to shed light on a new perspective on a hot topic examining the safe-haven assets after Covid-19. To do that, we compare both...

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

Implementing the panel event study

Clarke, Damian; Tapia Schythe, Kathya - 2020

practical considerations for its estimation. We describe a Stata command eventdd that allows for simple estimation, inference …

Persistent link: https://www.econbiz.de/10012256137

Relationship between the real estate sector and the stock market in Chinese provinces

Di, Zeyu; Heshmati, Almas; Liu, Sijia - 2022

-term causality can provide good guidance for investors. This paper studies the causality and correlation relationship between the … stock market and real estate sector's trading volumes in 31 provinces of China. Its empirical results are based on panel … data from 2000 to 2016. Various panel unit root, co-integration, and model specification and estimation tests are carried …

Persistent link: https://www.econbiz.de/10013172898

Testing the correlated random coefficient model

Heckman, James J.; Schmierer, Daniel; Urzua, Sergio - 2009

The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...

Persistent link: https://www.econbiz.de/10003907131

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 …This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by … Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather …

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

Dependence measures in bivariate gamma frailty models

Berg, Gerard J. van den; Effraimidis, Georgios - 2014

distributions. For such cases we calculate general bounds for two association measures, Pearson's correlation coefficient and …

Persistent link: https://www.econbiz.de/10010339585

Efficient probit estimation with partially missing covariates

Conniffe, Denis; O'Neill, Donal - 2009

A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...

Persistent link: https://www.econbiz.de/10003829113

Correlations of brothers' earnings and intergenerational transmission

Bingley, Paul; Cappellari, Lorenzo - 2017

Correlations between parent and child earnings reflect intergenerational mobility and, more broadly, correlations between siblings' earnings reflect shared community and family background. These earnings relationships capture important aspects of relations in socioeconomic status more generally....

Persistent link: https://www.econbiz.de/10011647671

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