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Identification of a class of index models : a topological approach

Fosgerau, Mogens; Kristensen, Dennis - 2019

We establish nonparametric identification in a class of so-called index models using a novel approach that relies on general topological results. Our proof strategy imposes very weak smoothness conditions on the functions to be identified and does not require any large support conditions on the...

Persistent link: https://www.econbiz.de/10012109838

Housing environmental risk in urban areas : cross country comparison and policy implications

Chiarini, Bruno; D'Agostino, Antonella; Marzano, Elisabetta - 2017

The main aim of this paper is to assess whether there is a statistically significant environmental impact of cities within European countries. Second, starting from the estimated environmental impact of cities within European countries, the paper investigates whether cross-country variation can...

Persistent link: https://www.econbiz.de/10011781394

Economic policy uncertainty, financial markets and probability of US recessions

Karnizova, Lilia; Li, Jiaxiong - In: Economics letters 125 (2014) 2, pp. 261-265

Persistent link: https://www.econbiz.de/10010505323

Does a Rise in BMI Cause an Increased Risk of Diabetes? : Evidence from India

Gupta, Shivani; Bansal, Sangeeta - 2019

Overnutrition increases the risk of diabetes. Evidence on the causal impact of overnutrition on diabetes is scarce for India. Considering a representative sample from India, this study examines the causal effect of a rise in the Body Mass Index (BMI) of an individual on the likelihood of being...

Persistent link: https://www.econbiz.de/10014104759

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

Persistent link: https://www.econbiz.de/10008797745

Risk spillovers in international equity portfolios

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...

Persistent link: https://www.econbiz.de/10010407672

The Interaction between Inflation and Inflation Uncertainty : A Multivariate Time-Varying Asymmetric Approach

Riadh, Riadh Abed - 2015

In the present study, we examine the relationship between inflation and inflation uncertainty using monthly Consumer Price Index for Tunisian, Turkish and Egypt covering the period 1990:M1-2014:M12. We adopt a multivariate asymmetric dynamic conditional correlation EGARCH framework. The...

Persistent link: https://www.econbiz.de/10013015304

Modelling Dynamic Portfolio Risk Using Risk Drivers of Elliptical Processes

Schmidt, Rafael - 2016

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … selected macroeconomic variables. These findings may improve the estimation of risk measures such as the (portfolio) Value at …

Persistent link: https://www.econbiz.de/10012989295

Localizing Multivariate CAViaR

Klochkov, Yegor - 2020

Risk transmission among financial markets and their participants is time- evolving, especially for the extreme risk scenarios. Possibly sudden time variation of such risk structures ask for quantitative technology that is able to cope with such situations. Here we present a novel localized...

Persistent link: https://www.econbiz.de/10012827644

Measuring macroeconomic uncertainty : a cross-country analysis

Dibiasi, Andreas; Sarferaz, Samad - 2020

This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to quarterly post-WWII real-time data, we estimate macroeconomic...

Persistent link: https://www.econbiz.de/10012228723

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