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Measuring Integrated Variance with Extreme-Value based Estimators

Loebb, Joachim - Institut für Schweizerisches Bankwesen <Zürich> - 2006

various assumptions about the underlying price process including large drifts, stochastic volatility with leverage effects and … futures data sampled at a 5-minute frequency. A state-space framework reveals the latent stochastic volatility process and …

Persistent link: https://www.econbiz.de/10005858502

The global role of the U.S. economy: Linkages, policies and spillovers

Kose, M. Ayhan; Lakatos, Csilla; Ohnsorge, Franziska; … - 2017

This paper analyzes the role of the United States in the global economy and examines the extent of global spillovers from changes in U.S. growth, monetary and fiscal policies, and uncertainty in its financial markets and economic policies. Developments in the U.S. economy, the world's largest,...

Persistent link: https://www.econbiz.de/10011696319

Wealth Dynamics in the 1980's and 1990's: Sweden and the U.S.

Klevmarken, Anders; Lupton, Joseph; Stafford, Frank - 2000

Given differences in public saving programs between Sweden and the United States, an examination of household private wealth accumulation in these two countries can be enlightening. In this paper we examine wealth inequality and mobility in Sweden and the United States over the past decade. We...

Persistent link: https://www.econbiz.de/10010321756

Are there waves in merger activity after all?

Gärtner, Dennis; Halbheer, Daniel - 2006

This paper investigates the merger wave hypothesis for the US and the UK employing a Markov regime switching model. Using quarterly data covering the last thirty years, for the US, we identify the beginning of a merger wave in the mid 1990s but not the much-discussed 1980s merger wave. We argue...

Persistent link: https://www.econbiz.de/10010315576

Educational financing and lifetime earnings

Sauer, Robert M. - 2002

This paper formulates and estimates a dynamic: programming model of the optimal edueational financing dedsions and post-graduation career choices of law school graduates. The purpose of the paper is to measure the effect of short-term parental cash transfers, received during school, on in-school...

Persistent link: https://www.econbiz.de/10010318906

How puzzling is the PPP puzzle? An alternative half-life measure of convergence to PPP

Chortareas, Georgios E.; Kapetanios, George - 2004

The lengthy half-lives of real exchange rates in the presence of high degree of exchange rate volatility has been …

Persistent link: https://www.econbiz.de/10010284120

The changing transmission of uncertainty shocks in the US: An empirical analysis

Mumtaz, Haroon; Theodoridis, Konstantinos - 2014

This paper investigates if the impact of uncertainty shocks on the US economy has changed over time. To this end, we develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on a range of variables. We find...

Persistent link: https://www.econbiz.de/10011380989

Common and country specific economic uncertainty

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …

Persistent link: https://www.econbiz.de/10011381007

What do VARs tell us about the impact of a credit supply shock?

Mumtaz, Haroon; Pinter, Gabor; Theodoridis, Konstantinos - 2015

This paper evaluates the performance of a variety of structural VAR models in estimating the impact of credit supply shocks. Using a Monte-Carlo experiment, we show that identification based on sign and quantity restrictions and via external instruments is effective in recovering the underlying...

Persistent link: https://www.econbiz.de/10011381010

Comparing several methods to compute joint prediction regions for path forecasts generated by vector autoregressions

Bruder, Stefan - 2015

Path forecasts, defined as sequences of individual forecasts, generated by vector autoregressions are widely used in applied work. It has been recognized that a profound econometric analysis often requires, besides the path forecast, a joint prediction region that contains the whole future path...

Persistent link: https://www.econbiz.de/10011420569

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