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Modeling volatility dynamics
Diebold, Francis X.; García López, José A. - 1995
Persistent link: https://www.econbiz.de/10000920972
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Persistence in the market risk premium : evidence across countries
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020
This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and Japan, and for robustness purposes considers...
Persistent link: https://www.econbiz.de/10012199998
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Untangling real gravity
Klaassen, Franc; Teulings, Rutger - 2017
all variables proposed by theory, despite a broad set of fixed effects (FE). We find that both REERs are important and … multilateral resistances. Untangling normalization helps to get a better view of what is still unexplained by theory. …
Persistent link: https://www.econbiz.de/10011791519
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Special issue: Advances in business cycle analysis and forecasting
Marcellino, Massimiliano (contributor);  … - 2010
Persistent link: https://www.econbiz.de/10003951692
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Business cycles : durations, dynamics, and forecasting
Diebold, Francis X.; Rudebusch, Glenn D. - 1999
Persistent link: https://www.econbiz.de/10013503071
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Have exchange rates become more closely tied? : Evidence from a new multivariate GARCH model
Klaassen, Franc - 1999
Persistent link: https://www.econbiz.de/10000168325
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Fractional integration in the purchasing power parity
Gil-Alaña, Luis A. - 1998
Persistent link: https://www.econbiz.de/10000994027
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On the evolution of U.S. temperature dynamics
Diebold, Francis X.; Rudebusch, Glenn D. - 2019
Persistent link: https://www.econbiz.de/10012064979
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Estimating global bank network connectedness
Demirer, Mert; Diebold, Francis X.; Liu, Laura; … - 2015
We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top …
Persistent link: https://www.econbiz.de/10011309448
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Point, interval and density forecasts of exchange rates with time-varying parameter models
Abbate, Angela; Marcellino, Massimiliano - 2016
We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...
Persistent link: https://www.econbiz.de/10011489395