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Common influences, spillover and integration in Chinese stock markets
Weber, Enzo; Zhang, Yanqun - 2008
The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an...
Persistent link: https://www.econbiz.de/10010263757
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The empirical relation between credit quality, recovery and correlation
Rösch, Daniel; Scheule, Harald - 2009
correlation. …
Persistent link: https://www.econbiz.de/10010276410
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Estimating LGD correlation
Witzany, Jiří - 2009
The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The … correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to … we apply the maximum likelihood method to estimate the best correlation parameter. The method is applied and analyzed on …
Persistent link: https://www.econbiz.de/10010322333
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Social capital and the labor market
2015
Persistent link: https://www.econbiz.de/10014306504
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Inference for rank-rank regressions
Chetverikov, Denis N.; Wilhelm, Daniel - 2023
Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...
Persistent link: https://www.econbiz.de/10014480485
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Do survey indicators let us see the business cycle? A frequency decomposition
Dresse, Luc; Van Nieuwenhuyze, Christophe - 2008
This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …
Persistent link: https://www.econbiz.de/10011506652
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How does European integration affect the European stock markets?
Erdogan, Burcu - 2009
, industrials, consumer services, health care and financials. The analysis is carried out by using correlation analysis, ß …
Persistent link: https://www.econbiz.de/10010291779
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Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance
Herwartz, Helmut; Golosnoy, Vasyl - 2007
We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data … correlation matrices and exogenous factors. The Fisher-z transformation guarantees robustness of correlation estimators under … prominent parametric and nonparametric alternatives to correlation modeling. Based on economic performance criteria, we …
Persistent link: https://www.econbiz.de/10010296287
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How does European Integration affect the European Stock Markets?
Erdogan, Burcu - 2009
, industrials, consumer services, health care and financials. The analysis is carried out by using correlation analysis, ß …
Persistent link: https://www.econbiz.de/10010300155
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Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants
Manera, Matteo; Giovannini, Massimo; Grasso, Margherita; … - 2004
specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model … of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The "within …
Persistent link: https://www.econbiz.de/10011324953