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The dynamics of real exchange rates: A reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011
approach this problem by offering a bootstrap based testing procedure to discriminate between these two rival models. We …
Persistent link: https://www.econbiz.de/10010289015
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The dynamics of real exchange rates : a reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011
approach this problem by offering a bootstrap based testing procedure to discriminate between these two rival models. We …
Persistent link: https://www.econbiz.de/10008908972
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Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant...
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...
Persistent link: https://www.econbiz.de/10013403261
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Global Finance Liquidity Risk Revisited : JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset Classes
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...
Persistent link: https://www.econbiz.de/10013405318
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A new approach to bootstrap inference in functional coefficient models
Herwartz, Helmut; Xu, Fang - 2007
We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in … functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic …, factor based bootstrap inference outperforms the wild bootstrap and pairs bootstrap approach according to its size features …
Persistent link: https://www.econbiz.de/10010296279
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Measuring global macroeconomic uncertainty
Moramarco, Graziano - 2020
This paper provides new indices of global macroeconomic uncertainty and investigates the cross-country transmission of uncertainty using a global vector autoregressive (GVAR) model. The indices measure the dispersion of forecasts that results from parameter uncertainty in the GVAR. Relying on...
Persistent link: https://www.econbiz.de/10012233069
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Measuring global macroeconomic uncertainty and cross-country uncertainty spillovers
Moramarco, Graziano - In: Econometrics : open access journal 11 (2023) 1, pp. 1-29
We propose an approach for jointly measuring global macroeconomic uncertainty and bilateral spillovers of uncertainty between countries using a global vector autoregressive (GVAR) model. Over the period 2000Q1-2020Q4, our global index is able to summarize a variety of uncertainty measures, such...
Persistent link: https://www.econbiz.de/10014281497
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Performance of Technical Trading Rules : Evidence from the Crude Oil Market
Psaradellis, Ioannis - 2019
This study investigates the debatable success of technical trading rules, through the years, on the trending energy market of crude oil. In particular, the large universe of 7846 trading rules proposed by Sullivan et al. (1999), divided into five families (filter rules, moving averages, support...
Persistent link: https://www.econbiz.de/10012902953
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A New Tail-Based Correlation Measure and Its Application in Global Equity Markets
Liu, Jinjing - 2022
Many studies have found that large negative returns tend to occur together. This paper develops a correlation measure focusing on tails using the expected shortfall, referred to as the expected shortfall-implied correlation. The new correlation measure provides closer estimates to the true...
Persistent link: https://www.econbiz.de/10013306901
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Stylized patterns in implied volatility indices and stock market returns : a cross country analysis across developed and emerging markets
Pathak, Jalaj; Deb, Soumya Guha - In: Cogent economics & finance 8 (2020) 1, pp. 1-24
Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index (VIX) and stock market returns, with data from 15 countries representing both developed and emerging economies.1 We also examine the dynamic variation, if any in the nature of the...
Persistent link: https://www.econbiz.de/10012219567