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Forecasting volatility and spillovers in crude oil spot, forward and futures markets

Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - 2009

Persistent link: https://www.econbiz.de/10003877109

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

Persistent link: https://www.econbiz.de/10003965868

Supply, demand and monetary policy shocks in a multi-country New Keynesian Model

Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa - 2010

countryspecific foreign output variable to capture direct inter-country linkages. In accord with the theory all variables are measured … restrictions implied by the NK theory. The multi-country DSGE NK model is then solved to provide estimates of identified supply …