Similar Search Results

Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes

Pesaran, M. Hashem - 2017

This paper proposes a new double-question survey method that elicits information about how individuals subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief regarding...

Persistent link: https://www.econbiz.de/10012963776

Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes

Pesaran, M. Hashem - 2016

This paper proposes a new double-question survey method that elicits information about how individuals' subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief...

Persistent link: https://www.econbiz.de/10012978031

Double-question survey measures for the analysis of financial bubbles and crashes

Pesaran, M. Hashem; Johnsson, Ida - 2016

Persistent link: https://www.econbiz.de/10011630772

A residual-based threshold method for detection of units that are too big to fail in large factor models

Kapetanios, George; Pesaran, M. Hashem; Reese, Simon - 2018

The importance of units with pervasive impacts on a large number of other units in a network has become increasingly recognized in the literature. In this paper we propose a new method to detect such influential or dominant units by basing our analysis on unit-specific residual error variances...

Persistent link: https://www.econbiz.de/10011942707

Double-question survey measures for the analysis of financial bubbles and crashes

Pesaran, M. Hashem; Johnsson, Ida - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 428-442

Persistent link: https://www.econbiz.de/10012262485

Double-question survey measures for the analysis of financial bubbles and crashes

Pesaran, M. Hashem; Johnsson, Ida - 2016

This paper proposes a new double-question survey method that elicits information about how individuals.subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief regarding...

Persistent link: https://www.econbiz.de/10011586267

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

Pesaran, Bahram; Pesaran, M. Hashem - In: Economic modelling 27 (2010) 6, pp. 1398-1416

Persistent link: https://www.econbiz.de/10008825760

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

Pesaran, M. Hashem - 2010

Persistent link: https://www.econbiz.de/10003981032

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

Pesaran, Bahram; Pesaran, M. Hashem - 2010

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

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

Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash

Pesaran, Bahram - 2013

Persistent link: https://www.econbiz.de/10013094817

1
2
3
4
5
6
7
8
9
10
Next
Last