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Factor Analysis with Large Panels of Volatility Proxies
Ghysels, Eric - 2014
the idiosyncratic errors of the panel. A remarkable result emerges. Under suitable regularity conditions the traditional …-sectional driven criteria suffice for consistent estimation of the number of factors, which is different from the traditional panel … data results. Finally, we also show that the panel data estimates improve upon the individual volatility estimates …
Persistent link: https://www.econbiz.de/10013056633
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Estimation of dynamic panel data models with stochastic volatility using particle filters
Xu, Wen - In: Econometrics : open access journal 4 (2016) 4, pp. 1-13
work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across … countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate …
Persistent link: https://www.econbiz.de/10011650493
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On the design of stabilising fiscal rules
Reuter, Wolf Heinrich; Tkačevs, Oļegs; Vilerts, Kārlis - 2018
Utilising data of the EU28 Member States for the period 1996–2015, this paper confirms the findings of previous studies that the stipulation of fiscal rules reduces fiscal volatility and consequently contributes to macroeconomic stability. Yet, we document that this result only holds for rules...
Persistent link: https://www.econbiz.de/10011974420
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Financial, institutional, and macroeconomic determinants of cross-country portfolio equity flows
Afonso, António; Alves, José; Beck, Krzysztof; … - 2022
We consider a new dataset that provides a description of the population of financial equity flows between developed countries from 2001 to 2018. We follow the standard practice of controlling for pull and push factors as well as gravity-style variables, while also accounting for the business...
Persistent link: https://www.econbiz.de/10013332123
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Evaluating factor pricing models using high-frequency panels
Chang, Yoosoon; Choi, Yongok; Kim, Hwagyun; Park, Joon Y. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 889-933
This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...
Persistent link: https://www.econbiz.de/10011800879
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Comovements and structural factors of macroeconomic volatility in developing and transition economies : a dynamic panel data approach
Ouechtati, Ichraf; Zaouali, Amira - 2013
volatility in developing and transition economies, using dynamic panel technique. According to an analysis of variance and …
Persistent link: https://www.econbiz.de/10009788587
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The relation between overreaction in forecasts and uncertainty : a nonlinear approach
Leppin, Julian Sebastian - 2014 - This version: November 2014
account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression …
Persistent link: https://www.econbiz.de/10010438928
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The Effects of Exchange Rate Volatility on Korea's Automotive Industry Exports : A Panel Cointegration Analysis
Jung, Moon-Hyun - 2017
Conditional Heteroscedasticity [GARCH(1,1)] model and the standard deviation approach. To this end, the panel cointegration … 2001 to December 2014. The panel dynamic ordinary least squares (DOLS) and the panel fully modified ordinary squares (FMOLS …
Persistent link: https://www.econbiz.de/10012957613
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Short Term Interest Rates Have a Negative Impact on Stock Returns; A Panel Data Analysis for Many European Economies
Georgiou, Miltiades N. - 2009
In the present paper the negative impact of interest rates on stock returns will be estimated for the European economies. Data are monthly during the year 2008 and cover the following countries: Belgium, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain. The elaboration of...
Persistent link: https://www.econbiz.de/10013156055
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The Impact of Social Capital on Consumption Insurance and Income Volatility in U.K : Evidence from British Household Panel Survey
Pericoli, Filippo Maria - 2013
On BHPS data we measure various indices of social capital at the individual and household level, and use them as explanatory variables in standard consumption insurance tests. We find that two out of three aspects of social capital positively impact on consumption smoothing, by reducing the...
Persistent link: https://www.econbiz.de/10013087263