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Forecasting in telecommunications and ICT : a review
Meade, Nigel; Islam, Towhidul - In: International journal of forecasting 31 (2015) 4, pp. 1105-1126
Persistent link: https://www.econbiz.de/10011474916
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A model to assess the impact of employment policy and subsidized domestic fuel prices on national oil companies
Cabrales, Sergio; Bautista, Rafael; Benavides, Juan - In: Energy economics 68 (2017), pp. 566-578
Persistent link: https://www.econbiz.de/10011906027
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An optimal balanced economic growth and abatement pathway for China under the carbon emissions budget
Zhu, Yongbin; Wang, Zheng - In: Computational economics 44 (2014) 2, pp. 253-268
Persistent link: https://www.econbiz.de/10010438003
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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...
Persistent link: https://www.econbiz.de/10010265964
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Global and regional spillovers in emerging stock markets: a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...
Persistent link: https://www.econbiz.de/10010271150
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Illiquidity and all its friends
Tirole, Jean - 2010
illiquidity and all its friends: market freezes, fire sales, contagion, and ultimately insolvencies and bailouts. It first …
Persistent link: https://www.econbiz.de/10010272481
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Better to give than to receive: predictive directional measurement of volatility spillovers
Diebold, Francis X.; Yilmaz, Kamil - 2010
Using a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to variable ordering, we propose measures of both total and directional volatility spillovers. We use our methods to characterize daily volatility spillovers across U.S. stock, bond,...
Persistent link: https://www.econbiz.de/10010277262
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X.; Yilmaz, Kamil - 2007
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10010298351
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Measuring financial asset return and volatilty spillovers, with application to global equity markets
Diebold, Francis X.; Yilmaz, Kamil - 2008
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10010303681
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Measuring co-movements of CDS premia during the Greek debt crisis
Andenmatten, Sergio; Brill, Felix - 2011
crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and … and industrialized countries. Our results indicate that there were periods of contagion for CDS markets during the Greek … crash and their conclusion of no contagion, only interdependence. Especially for European countries we would instead …
Persistent link: https://www.econbiz.de/10010316042