Similar Search Results

Real interest rate persistence : evidence and implications

Neely, Christopher J. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003741438

A worldwide system of reference rates

Williamson, John - 2006

Persistent link: https://www.econbiz.de/10003383881

A spectral analysis of the cross-country consumption correlation puzzle

Pakko, Michael Robert (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001983018

Technology catch-up in agriculture among advanced economies

Ball, Eldon V.; San Juan Mesonada, Carlos; Sunyer … - 2020

Persistent link: https://www.econbiz.de/10012221934

Singular conditional autoregressive Wishart model for realized covariance matrices

Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2021

Persistent link: https://www.econbiz.de/10012603081

Multivariate stochastic volatility models based on generalized Fisher transformation

Chen, Han; Fei, Yijie; Yu, Jun - 2023

Persistent link: https://www.econbiz.de/10014329798

Sluggish news reactions: a combinatorial approach for synchronizing stock jumps

Bouamara, Nabil; Boudt, Kris; Laurent, Sébastien; … - 2024

Persistent link: https://www.econbiz.de/10014521306

Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing

Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - 2023

Persistent link: https://www.econbiz.de/10014281687

Understanding dynamic conditional correlations between commodities futures markets

Behmiri, Niaz Bashiri; Manera, Matteo; Nicolini, Marcella - 2016

We estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture markets over the period 1998-2014 with a DCC-GARCH model. We look at the factors influencing those correlations, adopting a pooled mean group (PMG) estimator. Macroeconomic...

Persistent link: https://www.econbiz.de/10011451631

A generalised stochastic volatility in mean VAR

Mumtaz, Haroon - 2018

This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the … observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori …

Persistent link: https://www.econbiz.de/10011812167