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Long-run trends or short-run fluctuations : what establishes the correlation between oil and food prices? ; conference paper
Krätschell, Karoline; Schmidt, Torsten - 2013 - This version: July, 2012
In this paper we use the frequency domain Granger causality test of Breitung/Candelon (2006) to analyse short and long-run causality between energy prices and prices of food commodities. We find that the oil price Granger causes all the considered food prices. However, when controlling for...
Persistent link: https://www.econbiz.de/10010341671
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Institutional variables, capital flows and GDP : a causality analysis
Mastromatteo, Giuseppe; Verga, Giovanni - In: Studi economici : rivista quadrimestrale 62 (2007) 1, pp. 25-54
Persistent link: https://www.econbiz.de/10003801917
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A test for volatility spillover with application to exchange rates
Hong, Yongmiao - In: Journal of econometrics 103 (2001) 1/2, pp. 183-224
Persistent link: https://www.econbiz.de/10001585360
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Causality between Economic Policy Uncertainty Across Countries : Evidence from Linear and Nonlinear Tests
Ajmi, Ahdi Noomen - 2015
Following the 2007-2009 global recession, economic policy uncertainty and its effect on economic recovery has become an issue of interest in academic, media as well as policy-making circles (Baker et al., 2013). Given this backdrop, we investigate causality between economic policy uncertainty in...
Persistent link: https://www.econbiz.de/10013029078
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Indeterminacy and the Distribution of Growth Rates
Greiner, Alfred; Krüger, Jens J. - 2012
In endogenous growth theory models exist which are characterized by local and global indeterminacy. These concepts …
Persistent link: https://www.econbiz.de/10014122878
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Are correlations constant over time? : application of the CC-TRIGt-test to return series from different asset classes
Fischer, Matthias (contributor) - 2007
A new test for constant correlation is proposed. Based on the bivariate Student-t distribution, this test is derived as … & Rouwenhorst, 2005) specify the unknown correlations as piecewise constant, our model-setup for the correlation coefficient is … correlation ; trigonometric functions …
Persistent link: https://www.econbiz.de/10003633489
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Temperature anomalies, radiative forcing and ENSO
Morana, Claudio; Sbrana, Giacomo - 2017
an IGARCH process. By means of a new dynamic conditional correlation model (SP-DCC), we finally document the presence of … time-varying conditional correlations relating temperature anomalies across various zones and SOI. The correlation pattern …
Persistent link: https://www.econbiz.de/10011614201
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On the economic determinants of optimal stock-bond portfolios : international evidence
Conrad, Christian; Stürmer, Karin - 2017 - This version: May 31, 2017
Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by …
Persistent link: https://www.econbiz.de/10011745369
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Measuring systemic risk : a factor-augmented correlated default approach
Suh, Sangwon - In: Journal of financial intermediation 21 (2012) 2, pp. 341-358
Persistent link: https://www.econbiz.de/10009708412
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A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing - In: Journal of financial econometrics 21 (2023) 3, pp. 959-987
Persistent link: https://www.econbiz.de/10014314844