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A stochastic variance factor model for large datasets and an application to S&P data
Cipollini, Andrea; Kapetanios, George - 2004
The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We … suggest use of the principal component methodology of Stock and Watson (2002) for the stochastic volatility factor model …
Persistent link: https://www.econbiz.de/10010289033
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How important are common factors in driving non-fuel commodity prices? A dynamic factor analysis
Vansteenkiste, Isabel - 2009
to separate common and idiosyncratic developments of commodity prices. Our estimation results show that there exists one …
Persistent link: https://www.econbiz.de/10011605118
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Yield curve factors, term structure volatility, and bond risk premia
Hautsch, Nikolaus; Ou, Yangguoyi - 2008
autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely con …
Persistent link: https://www.econbiz.de/10010263741
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Do output contractions trigger democratic change?
Burke, Paul J.; Leigh, Andrew - 2010
Does faster economic growth increase pressure for democratic change, or reduce it? Using data for 154 countries for the period 1963-2007, we examine the short-run relationship between economic growth and moves toward and away from greater democracy. To address the potential endogeneity of...
Persistent link: https://www.econbiz.de/10010269675
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Monetary Policy, Global Liquidity and Commodity Price Dynamics
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben W. - 2010
This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this purpose, we aggregate data for major OECD countries and follow the Johansen/Juselius cointegrated VAR approach. Our empirical model supports the view that, when controlling...
Persistent link: https://www.econbiz.de/10010269974
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Monetary policy, global liquidity and commodity price dynamics
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben W. - 2010
This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this purpose, we aggregate data for major OECD countries and follow the Johansen/Juselius cointegrated VAR approach. Our empirical model supports the view that, when controlling...
Persistent link: https://www.econbiz.de/10010271369
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The effect of inflation on real commodity prices
Reicher, Christopher Phillip; Utlaut, Johannes Friederich - 2011
Recent research has shown that economic conditions have an important effect on real commodity prices. We quantify the contribution of fluctuations in inflation to this particular link. In the data, a temporary rise in inflation causes real commodity prices to rise, as does a rise in trend...
Persistent link: https://www.econbiz.de/10010274442
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World shocks, world prices, and business cycles: An empirical investigation
Fernández Díaz, Andrés; Schmitt-Grohé, Stephanie; … - 2017
SVAR models that include a single world price (such as the terms-of-trade) predict that world shocks explain a small fraction of movements in domestic output (typically less than 10 percent). This paper presents an empirical framework in which multiple commodity prices transmit world...
Persistent link: https://www.econbiz.de/10011786396
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A diffusion approximation for the riskless profit under selling of discrete time call options: Non-identically distributed jumps
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...
Persistent link: https://www.econbiz.de/10010293743
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Volatility extraction using the Kalman filter
Kuchynka, Alexandr - 2008
the volatility is not observable, the logarithm of the daily high-low range is employed as its proxy. The estimation of …This paper focuses on the extraction of volatility of financial returns. The volatility process is modeled as a … parameters and volatility extraction are performed using a modified version of the Kalman filter which takes into account the …
Persistent link: https://www.econbiz.de/10010322165