This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional...

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a foreign volatility innovation on a conditional...

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional...

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional...

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a foreign volatility innovation on a conditional...

Fractionally integrated vector autoregressive models allow to capture persistence in time series data in a very flexible way. Additional flexibility for the short memory properties of the model can be attained by using the fractional lag perator of Johansen (2008) in the vector autoregressive...

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a foreign volatility innovation on a conditional...

Using the example of short-term forecasts for German employment figures, the article at hand examines the question whether the use of disaggregated information increases the forecast accuracy of the aggregate. For this purpose, the out-ofsample forecasts for the aggregated employment forecast...

In dem vorliegenden Beitrag wurden die Auswirkungen des Klimapakets der Bundesregierung (Stand 20.09.2019 zuzüglich der Änderung aus dem Bund-Länder-Kompromiss vom 16.12.2019) auf die Wirtschaft und den Arbeitsmarkt in Deutschland untersucht. Unter Zuhilfenahme der Szenarientechnik wurden...

In dem vorliegenden Beitrag wird eine erste Einschätzung zu den Auswirkungen des Konjunktur- und Krisenbewältigungspakets der Bundesregierung 'Corona-Folgen bekämpfen, Wohlstand sichern, Zukunftsfähigkeit stärken' (Stand 03.06.2020) auf die Wirtschaft und den Arbeitsmarkt in Deutschland...