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

Diebold, Francis X. - 2008

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

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

Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets

Ito, Takatoshi - 1993

This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the … foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to … distinguish between the market contagion and informational efficiency hypotheses in order to explain the cause of international …

Persistent link: https://www.econbiz.de/10012474348

High-frequency, Algorithmic Spillovers Between NASDAQ and Forex

Ito, Takatoshi - 2015

We empirically examine the order flows spillovers between Nasdaq and the Forex markets in 2008 and 2009. With emphasis on a role of high-frequency traders (HFTs) who aggregate information between the two markets as well as within each market, our results show that HFTs in Nasdaq trade...

Persistent link: https://www.econbiz.de/10012457544

Heart of Darkness : Modeling Public-Private Funding Interactions Inside the R&D Black Box

David, Paul A. - 2000

This paper is a first step toward closing the analytical gap in the extensive literature on the results of interactions between public and private R&D expenditures, and their joint effects on the economy. Econometric studies in this area report a plethora of sometimes confusing and frequently...

Persistent link: https://www.econbiz.de/10012471237

Geographic Localization of International Technology Diffusion

Keller, Wolfgang - 2000

Convergence in per capita income across countries turns on whether technological knowledge spillover are global or local. This paper estimates the amount of spillover from R&D expenditures in major industrialized countries on a geographic basis. A new data set is used which encompasses most of...

Persistent link: https://www.econbiz.de/10012471267

Endogenous R&D Spillovers and Industrial Research Productivity

Adams, James D. - 2000

This paper explores the implications of a simple model of learning and innovation by firms. In this model R&D spillovers are partly determined by firms, rather than by the given economic environment. According to this approach the full effect of spillovers on research productivity of firms...

Persistent link: https://www.econbiz.de/10012471292

How Trade Patterns and Technology Flows Affect Productivity Growth

Keller, Wolfgang - 1999

This paper examines the evidence on technology diffusion through trade in differentiated intermediate goods. Because intermediates are invented through costly research and development (R&D) investments, employing imported intermediates implies an implicit sharing of the technology that was...

Persistent link: https://www.econbiz.de/10012471810

Does Research Save Lives? The Local Spillovers of Biomedical Research on Mortality

McKibbin, Rebecca; Weinberg, Bruce A. - National Bureau of Economic Research - 2021

This paper investigates the local impact of biomedical research on mortality in the USA. Causally estimating the marginal value of biomedical research is challenging due to a lack of micro data linking health outcomes to plausibly exogenous variation in research. We create a new linkage between...

Persistent link: https://www.econbiz.de/10012660098

Spillover Effects from Voluntary Employer Minimum Wages

Derenoncourt, Ellora; Noelke, Clemens; Weil, David; … - National Bureau of Economic Research - 2021

Low unionization rates, a falling real federal minimum wage, and outsourcing have hampered wage growth in the low-wage sector in the US. In recent years, a number of private employers have opted to institute or raise company-wide minimum wages for their employees, sometimes in response to public...

Persistent link: https://www.econbiz.de/10012660103

The Impact of Covid-19 on Older Workers' Employment and Social Security Spillovers

Goda, Gopi Shah; Jackson, Emilie; Nicholas, Lauren Hersch; … - National Bureau of Economic Research - 2021

The COVID-19 pandemic and associated mitigation strategies exacted a large economic toll on large portions of the United States population. For older and disabled workers, the effects could be more persistent and fiscally costly than the impacts experienced by young, healthy workers due to the...

Persistent link: https://www.econbiz.de/10012599373

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