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2015

Persistent link: https://www.econbiz.de/10014306504

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

Have Consumption Risks in the G7 Countries Become Diversified?

Antonakakis, Nikolaos; Scharler, Johann - 2010

conditional correlation model due to Engle (2002), we construct a time-varying, consumption-based measure of risk sharing. We find …

Persistent link: https://www.econbiz.de/10010294891

The Euro Introduction and Non-Euro Currencies

van Dijk, Dick; Munandar, Haris; Hafner, Christian M. - 2005

the framework of dynamic conditional correlation (DCC) models, we find that such breaks occurred both at the time the …

Persistent link: https://www.econbiz.de/10010325483

Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations

Silvennoinen, Annastiina; Teräsvirta, Timo - 2005

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The …

Persistent link: https://www.econbiz.de/10010281337

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

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

The empirical relation between credit quality, recovery and correlation

Rösch, Daniel; Scheule, Harald - 2009

correlation. …

Persistent link: https://www.econbiz.de/10010276410

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

Structural constant conditional correlation

Weber, Enzo - 2008

constant conditional correlation (SCCC). In this, common driving forces can be modelled in addition to simultaneous …

Persistent link: https://www.econbiz.de/10010263718