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On the Macroeconomic Determinants of Long-Term Volatilities and Correlations in U.S. Stock and Crude Oil Markets

Conrad, Christian - 2014

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors of changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …

Persistent link: https://www.econbiz.de/10013066427

Identifying time variability in stock and interest rate dependence

Stein, Michael; Islami, Mevlud; Lindemann, Jens - 2012

-varying correlation ; regime transition ; multivariate GARCH ; smooth transition ; cross-asset correlation ; non-linear estimation …The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with … which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying …

Persistent link: https://www.econbiz.de/10009625556

The laws of motion of the broker call rate in the United States

Garivaltis, Alex - In: International Journal of Financial Studies : open … 7 (2019) 4/56, pp. 1-23

) arbitrage theory of corporate liability pricing to study theoretical constraints on the risk premia that could be generated in …

Persistent link: https://www.econbiz.de/10012150532

Economic sources of asymmetric cross-correlation among stock returns

Yu, Chih-hsien; Wu, Chunchi - In: International review of economics & finance : IREF 10 (2001) 1, pp. 19-40

Persistent link: https://www.econbiz.de/10001569164

Korrelationskonzepte zur Quantifizierung von Kreditausfallrisiken

Niethen, Susanne - 2001

Persistent link: https://www.econbiz.de/10001608302

A measure of comovement for economic variables : theory and empirics

Croux, Christophe; Forni, Mario; Reichlin, Lucrezia - In: The review of economics and statistics 83 (2001) 2, pp. 232-241

Persistent link: https://www.econbiz.de/10001579515

Testing for common cyclical features in VAR models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

Persistent link: https://www.econbiz.de/10001590410

Testing for common cyclical features in VAR models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

We consider VAR models for variables exhibiting cointegration and comon cyclical features. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short-run dynamics. We distinguish between strong and...

Persistent link: https://www.econbiz.de/10001590471

The application of multivariate GARCH models to turbulent financial markets

Zahnd, Edy - 2002 - Als Ms. gedr.

Persistent link: https://www.econbiz.de/10001659873

Testing the correlated random coefficient model

Heckman, James J.; Schmierer, Daniel; Urzua, Sergio - 2009

The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...

Persistent link: https://www.econbiz.de/10003899921