Showing 21 - 30 of 1,607
This paper introduces a novel model to analyse the impact of macroeconomic shocks on volatility spillovers within key financial markets, such as Stock, Bond, Gold and Crude Oil. By treating macroeconomic variables as external factors to financial market volatility, our study distinguishes...
Persistent link: https://www.econbiz.de/10015149616
The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock markets. The objective is to identify major...
Persistent link: https://www.econbiz.de/10014502815
Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...
Persistent link: https://www.econbiz.de/10003893148
Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...
Persistent link: https://www.econbiz.de/10003909348
Persistent link: https://www.econbiz.de/10010210130
We use financial intraday data to identify monetary policy surprises in the euro area. We find that monetary policy statements and press conferences after European Central Bank (ECB) Governing Council meetings convey information that moves the yield curve far out. Moreover, the nature of the...
Persistent link: https://www.econbiz.de/10011895135
We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation...
Persistent link: https://www.econbiz.de/10010752061
The issue of normalization arises whenever two different values for a vector of unknown parameters imply the identical economic model. A normalization does not just imply a rule for selecting which point, among equivalent ones, to call the maximum likelihood estimator (MLE). It also governs the...
Persistent link: https://www.econbiz.de/10014048577
We examine the theory and behavior in practice of Bayesian and bootstrap methods for generating error bands on impulse responses in dynamic linear models. The Bayesian intervals have a firmer theoretical foundation in small samples, are easier to compute, and are about as good in small samples...
Persistent link: https://www.econbiz.de/10014048658
Are structural vector autoregressions (VARs) useful for discriminating between macro models‘ Recent assessments of VARs have shown that these statistical methods have adequate size properties. In other words, in simulation exercises, VARs will only infrequently reject the true data generating...
Persistent link: https://www.econbiz.de/10014203700