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A DSGE model with partial euroization : the case of the Macedonian economy
Copaciu, Mihai; Madjoska, Joana; Mitesk, Mite - 2022
relatively well the volatility observed in the data. Given the monetary policy regime in place, the debt deflation channel is …
Persistent link: https://www.econbiz.de/10012817051
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Financial regimes and uncertainty shocks
Alessandri, Piergiorgio; Mumtaz, Haroon - 2014
uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …
Persistent link: https://www.econbiz.de/10010472852
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The role of outliers and oil price shocks on volatility of metal prices
Behmiri, Niaz Bashiri; Manera, Matteo - 2015
This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the … persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we … estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily …
Persistent link: https://www.econbiz.de/10011327443
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On the realized volatility of the ECX CO2 Emissions 2008 Futures Contract: distribution, dynamics and forecasting
Chevallier, Julien; Sévi, Benoît - 2009
issue by characterizing the conditional and unconditional distributions of the realized volatility for the 2008 futures … volatility measures from naive, kernel-based and subsampling estimators are used to obtain inferences about the distributional … and dynamic properties of the ECX emissions futures volatility. The distribution of the daily realized volatility in …
Persistent link: https://www.econbiz.de/10008840052
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Trends cycles and seasons : econometric methods of signal extraction
Pollock, David Stephen G. - 2017
Persistent link: https://www.econbiz.de/10011581633
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Diversification benefits of commodities : a stochastic dominance efficiency approach
Daskalaki, Charoula; Skiadopoulos, George; Topaloglou, … - 2016
We revisit the question whether commodities should be included in investors' portfolios. We employ for the first time a stochastic dominance efficiency (SDE) approach to construct optimal portfolios with and without commodities and we evaluate their comparative performance. SDE circumvents the...
Persistent link: https://www.econbiz.de/10011473894
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Bio-ecological diversity vs. socio-economic diversity : a comparison of existing measures
Maignan, Carole; Ottaviano, Gianmarco I. P.; Pinelli, Dino - 2003
This paper aims to enrich the standard toolbox for measuring diversity in economics. In so doing, we compare the indicators of diversity used by economists with those used by biologists and ecologists. Ecologists and biologists are concerned about biodiversity: the diversity of organisms that...
Persistent link: https://www.econbiz.de/10011589809
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Subjektive Daten in der empirischen Wirtschaftsforschung : Probleme und Perspektiven
Winkelmann, Rainer (contributor) - 2002 - [Elektronische Ressource]
Preise, Einkommen, und Nachfrage – die zentralen zu erklaerenden Variablen in den Wirtschaftswissenschaften sind objektiv messbar. Daneben gibt es jedoch zwei nicht minder zentrale Groessen, Erwartungen und Praeferenzen, die sich einer direkten objektiven Messung entziehen. Es sind subjektive...
Persistent link: https://www.econbiz.de/10001729415
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Energy access scenarios to 2030 for the power sector in Sub-Saharan Africa
Bazilian, Morgan; Nussbaumer, Patrick; Rogner, Hans-Holger - 2011
In order to reach a goal of universal access to modern energy services in Africa by 2030, consideration of various electricity sector pathways is required to help inform policy-makers and investors, and help guide power system design. To that end, and building on existing tools and analysis, we...
Persistent link: https://www.econbiz.de/10009298174
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Uncertainty and stock returns in energy markets: a quantile regression approach
Cedic, Samir; Mahmoud, Alwan; Manera, Matteo; Uddin, … - 2021
The aim of this paper is to analyze the relationship between different types of uncertainty and stock returns of the renewable energy and the oil & gas sectors. We use the quantile regression approach developed by Koenker and d'Orey (1987; 1994) to assess which uncertainties are the potential...
Persistent link: https://www.econbiz.de/10012510024