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Estimating Global Bank Network Connectedness

Demirer, Mert - 2017

dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a … the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and … Debt Crisis, and with movements coming mostly from changes in cross-country as opposed to within-country bank linkages …

Persistent link: https://www.econbiz.de/10012963187

Estimating Global Bank Network Connectedness

Demirer, Mert - 2017

Persistent link: https://www.econbiz.de/10012455541

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

Diebold, Francis X. - 2010

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

Persistent link: https://www.econbiz.de/10012759516

Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets

Diebold, Francis X. - 2008

Persistent link: https://www.econbiz.de/10012464836

Machine Learning for Regularized Survey Forecast Combination : Partially-Egalitarian Lasso and its Derivatives

Diebold, Francis X. - 2018

Bank Survey of Professional Forecasters, our procedures outperform simple average and median forecasts – indeed they …

Persistent link: https://www.econbiz.de/10012911728

On the Aggregation of Probability Assessments : Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates

Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - National Bureau of Economic Research - 2022

regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts …

Persistent link: https://www.econbiz.de/10012814410

Machine Learning for Regularized Survey Forecast Combination : Partially-Egalitarian Lasso and its Derivatives

Diebold, Francis X. - 2018

Bank Survey of Professional Forecasters, our procedures outperform simple average and median forecasts - indeed they …

Persistent link: https://www.econbiz.de/10012480620

Improving GDP Measurement : a Forecast Combination Perspective

Aruoba, S. Borağan - 2011

Two often-divergent U.S. GDP estimates are available, a widely-used expenditure side version, GDPE, and a much less widely-used income-side version GDPI . We propose and explore a "forecast combination" approach to combining them. We then put the theory to work, producing a superior combined...

Persistent link: https://www.econbiz.de/10013120293

Air Pollution and Procyclical Mortality

Heutel, Garth - 2013

Prior research demonstrates that mortality rates increase during economic booms and decrease during economic busts, but little analysis has been conducted investigating the role of environmental risks as potential mechanisms for this relationship. We investigate the contribution of air pollution...

Persistent link: https://www.econbiz.de/10013083393

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Andersen, Torben G. - 2005

What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...

Persistent link: https://www.econbiz.de/10012784980