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High-Dimensional Covariance Matrix Estimation: Shrinkage Toward a Diagonal Target
Ando, Sakai - 2023
This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of the sample covariance matrix. We derive the closed-form solution of the shrinkage parameter and...
Persistent link: https://www.econbiz.de/10015058887
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The Jordanian Stock Market; Should You Invest in it for Risk Diversification or Performance?
Petri, Martin; Saadi-Sedik, Tahsin - International Monetary Fund (IMF) - 2006
cointegration techniques, we find that the ASE and other Arab stock markets are cointegrated, which implies little long-run risk …
Persistent link: https://www.econbiz.de/10005263988
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Why is Micro Evidenceon the Effects of Uncertainty Not Replicated in Macro Data?
Lombardi, Domenico; Bond, Stephen - International Monetary Fund (IMF) - 2005
This study investigates the relationship between uncertainty and investment using U.K. data at different levels of aggregation. Motivated by a comparative econometric analysis using a firm-level panel and aggregate time-series data, we analyze the implications of aggregating nonlinear...
Persistent link: https://www.econbiz.de/10005264173
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Country Insurance Using Financial Instruments
Ricci, Luca Antonio; Chamon, Marcos; Zhang, Yuanyan Sophia - International Monetary Fund (IMF) - 2011
The availability of financial instruments related to indices that track global financial conditions and risk appetite can potentially offer countries alternative options to insure against external shocks. This paper shows that while these instruments can explain much of the in-sample variation...
Persistent link: https://www.econbiz.de/10009203536
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Financial Market Spillovers in Transition Economies
Sahay, Ratna; Gelos, Gaston - International Monetary Fund (IMF) - 2000
This paper examines financial market comovements across European transition economies and compares their experience to that of their regions. Correlations in monthly indices of exchange market pressures can partly be explained by direct trade linkages, but not by measures of other fundamentals....
Persistent link: https://www.econbiz.de/10005826010
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Can China Grow Faster? a Diagnosison the Fragmentation of the Domestic Capital Market
Wei, Shang-Jin; Boyreau-Debray, Genevieve - International Monetary Fund (IMF) - 2004
This paper examines possible segmentation of the internal capital market in China. We employ two standard tools from the international finance literature to analyze financial integration across Chinese provinces. Both tests confirm a similar (and somewhat surprising) picture: capital mobility...
Persistent link: https://www.econbiz.de/10005826241
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Stock Returns and Output Growth in Emerging and Advanced Economies
Mauro, Paolo - International Monetary Fund (IMF) - 2000
This paper studies the correlation between output growth and lagged stock returns in a panel of emerging market … economies and advanced economies. It finds that the correlation is as strong in emerging market economies as in advanced …, the paper finds that the strength of the correlation between output growth and lagged stock returns is significantly …
Persistent link: https://www.econbiz.de/10005769095
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The Role of Financial Variables in Predicting Economic Activity in the Euro Area
Lombardi, Marco; Espinoza, Raphael A.; Fornari, Fabio - International Monetary Fund (IMF) - 2009
The U.S. business cycle typically leads the European cycle by a few quarters and this can be used to forecast euro area GDP. We investigate whether financial variables carry additional information. We use vector autoregressions (VARs) which include the U.S. and the euro area GDPs as a minimal...
Persistent link: https://www.econbiz.de/10008540921
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Go Long or Short in Pyramids? News From the Egyptian Stock Market
Massa, Isabella; Billmeier, Andreas - International Monetary Fund (IMF) - 2007
Similar to other emerging economies, the Egyptian stock market has recently experienced a remarkable run-up but also a major downturn. This paper analyzes the stock market from two angles. First, it compares the performance of the major stock price index with its underlying fundamentals. Second,...
Persistent link: https://www.econbiz.de/10005604800
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Global and Regional Spillovers to GCC Equity Markets
Sedik, Tahsin Saadi; Williams, Oral - International Monetary Fund (IMF) - 2011
This paper analyzes the impact of global and regional spillovers to GCC equity markets. GCC equity markets were impacted by spillovers from U.S. equity markets despite varying degrees of foreign participation. Spillovers from regional equity markets were also important but the magnitude of the...
Persistent link: https://www.econbiz.de/10009151201