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Factor endowments, economic integration, round-tripping, and inward FDI : evidence from the Baltic economies
Cieślik, Andrzej; Gurshev, Oleg - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-26
Lithuania using a knowledge-and-physical capital model across 2004-2017. We used the Bayesian model averaging estimation method …
Persistent link: https://www.econbiz.de/10012626417
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The convergence evolution in Europe from a complex networks perspective
Papadimitriou, Theophilos; Gkonkas, Periklēs; … - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-14
-Eurozone economies, is investigated in this paper. To do so, we construct correlation-based networks and study them by employing the …
Persistent link: https://www.econbiz.de/10013471379
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Generalized mean-reverting 4/2 Factor Model
Cheng, Yuyang; Escobar, Marcos; Gong, Zhenxian - In: Journal of risk and financial management : JRFM 12 (2019) 4/159, pp. 121
This paper proposes and investigates a multivariate 4/2 Factor Model. The name 4/2 comes from the superposition of a CIR term and a 3/2-model component. Our model goes multidimensional along the lines of a principal component and factor covariance decomposition. We find conditions for...
Persistent link: https://www.econbiz.de/10012172988
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Recent patterns of economic alignment in the European (Monetary) Union
Gehringer, Agnieszka; König, Jörg - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-23
baseline methodology we adopt rolling window correlation coefficients of various economic indicators, observed since 2000 …
Persistent link: https://www.econbiz.de/10012626655
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Dependency relations among international stock market indices
Sandoval Junior, Leonidas; Mullokandov, Asher; Kenett, … - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 227-265
We develop networks of international stock market indices using information and correlation based measures. We use 83 … stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and … one day coincides to same day correlation between them. …
Persistent link: https://www.econbiz.de/10011545240
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The time-varying relation between stock returns and monetary variables
McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17
shifting the pattern of behaviour. We show a change in the correlation between each of the three variables with stock returns …. Notably, a predominantly negative correlation with bond yields and inflation becomes positive, while the opposite is true for …
Persistent link: https://www.econbiz.de/10012813273
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The impact of economic freedom on economic growth? : new European dynamic panel evidence
Brkić, Ivana; Gradojevic, Nikola; Ignjatijević, Svetlana - In: Journal of risk and financial management : JRFM 13 (2020) 2/36, pp. 1-13
This paper analyzes the impact of economic freedom along with traditional economic factors on economic growth for a panel of European countries. The growth of the gross domestic product was observed over a twenty-year time period on a sample of 43 developing and developed countries. Based on a...
Persistent link: https://www.econbiz.de/10012173941
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Inflation co-movement dynamics : a cross-country investigation using a continuous wavelet approach
Tiwari, Aviral Kumar; Abakah, Emmanuel Joel Aikins; … - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-43
The economic literature provides evidence that inflation rates can co-move across nations because of a host of reasons, ranging from low frequency changes in monetary policy to similar high frequency shocks. Hence, this paper investigates inflation rate co-movements between nine (9) African...
Persistent link: https://www.econbiz.de/10012800212
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Choosing factors for the Vietnamese stock market
Ryan, Nina; Ruan, Xinfeng; Zhang, Jin E.; Zhang, Jing A. - In: Journal of risk and financial management : JRFM 14 (2021) 3/96, pp. 1-23
In this paper, we test the applicability of different Fama-French (FF) factor models in Vietnam, we investigate the value factor redundancy and examine the choice of the profitability factor. Our empirical evidence shows that the FF five-factor model has more explanatory power than the FF...
Persistent link: https://www.econbiz.de/10012484859
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Do the determinants of non-performing loans have a different effect over time? : a conditional correlation approach
Fallanca, Mariagrazia; Forgione, Antonio Fabio; … - In: Journal of risk and financial management : JRFM 14 (2021) 1/21, pp. 1-15
derived in terms of correlation coefficients evaluated in certain time spans, which represent a sort of average level of … an empirical exercise using dynamic conditional correlation models, with constant and time-varying parameters. Applying … find that the correlation is often negligible in this period except during periods of economic crises, in particular the …
Persistent link: https://www.econbiz.de/10012416891