Similar Search Results

Doubly multiplicative error models with long- and short-run components

Amendola, Adalgiso; Candila, V.; Cipollini, F.; Gallo, … - In: Socio-economic planning sciences : the international … 91 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014528556

Volatility of the 2008 Crisis

Cottrell, Paul - 2016

progressing as of 2012, in terms of civilian employment and GDP. Next we will investigate the stylized facts of the crisis and …

Persistent link: https://www.econbiz.de/10012993297

Utilizing Topographic Finance to Understand Volatility (Presentation Slides)

Cottrell, Paul - 2016

Topographic finance is the study of surfaces to describe financial systems in multiple dimensions. The problem with finance and economics is to describe accurately what is actually governing price dynamics. The price dynamics are behavioral and do not exhibit a rational maximization of a utility...

Persistent link: https://www.econbiz.de/10012996020

Macroeconomic implications of oil-price shocks to emerging economies : a Markov regime-switching approach

Togonidze, Sophio; Kočenda, Evžen - 2022

We investigate an impact of oil-price shocks on GDP and exchange rate dynamics in resource-heterogeneous economies. We …-exporting, and less-resource-intensive economies. On average, real GDP in oil-exporting economies exhibits substantial contraction …, while for metal exporters there is a significant real GDP expansion suggesting an offsetting effect of metal exports on oil …

Persistent link: https://www.econbiz.de/10013369064

Measuring real-financial connectedness in the U.S. economy

Uluceviz, Erhan; Yılmaz, Kamil - 2018

We analyze connectedness between the real and financial sectors of the U.S. economy. Using the weekly ADS index of the Philadelphia FED (the widely used business conditions indicator) to represent the real side, we find that during times of financial distress and/or business cycle turning points...

Persistent link: https://www.econbiz.de/10012060214

Forecasting the volatilities of the Nigeria stock market prices

Ibrahim, Sikiru O. - In: CBN Journal of Applied Statistics 08 (2017) 2, pp. 23-45

The objective of this work is to assess and forecast the volatilities of prices on the Nigeria Stock Exchange. The ARCH family (ARCH, GARCH, TGARCH, EGARCH and PGARCH) and ARIMA models are used to assess and forecast volatilities in prices on the Nigeria stock market. The EGARCH model is found...

Persistent link: https://www.econbiz.de/10011961666

Real-financial connectedness in the Swiss economy

Uluceviz, Erhan; Yılmaz, Kamil - In: Swiss Journal of Economics and Statistics 156 (2020) 1, pp. 1-20

We study macro-financial linkages and their importance within the Swiss economy from a network perspective. First, we investigate the real-financial connectedness in the Swiss economy, using the KOF economic barometer, obtained from real and financial variables, and, the real activity index...

Persistent link: https://www.econbiz.de/10013205785

Macroeconomic determinants of stock market returns, volatility and volatility risk-premia

Corradi, Valentina (contributor); … - 2008

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility and volatility risk-premia are stochastic and derive...

Persistent link: https://www.econbiz.de/10003848514

Macroeconomic determinants of stock market volatility and volatility risk-premiums

Corradi, Valentina; Distaso, Walter; Mele, Antonio - 2012

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of fluctuations in stock market volatility. We develop a model in which stock volatility and volatility risk-premia are stochastic and derive...

Persistent link: https://www.econbiz.de/10009558368

Core and 'Crust' : Consumer Prices and the Term Structure of Interest Rates

Ajello, Andrea - 2012

We propose a no-arbitrage model that jointly explains the dynamics of consumer prices as well as the nominal and real term structures of risk-free rates. In our framework, distinct core, food, and energy price series combine into a measure of total inflation to price nominal Treasuries. This...

Persistent link: https://www.econbiz.de/10013114689

1
2
3
4
5
6
7
8
9
10
Next
Last