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Noise reduction in a reputation index

Mitic, Peter - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-18

. It is particularly suited in the context of a reputation index, because small amounts of noise can easily mask more …

Persistent link: https://www.econbiz.de/10011852766

Structural simultaneous volatility systems : volatility transmission and spillover effects

Gannon, Gerard L. - 1997

Persistent link: https://www.econbiz.de/10000964264

Structural models: intra- inter-day volatility transmission and spillover persistence of the HSI, HSIF and S&P500 futures

Gannon, Gerard L. - In: International review of financial analysis 7 (1998) 1, pp. 19-36

Persistent link: https://www.econbiz.de/10001252958

Volatility spillover effect : a semiparametric analysis of non-cointegrated process

Sun, Yiguo; Hsiao, Cheng; Li, Qi - In: Econometric reviews 34 (2015) 1/5, pp. 127-145

Persistent link: https://www.econbiz.de/10011373301

Detecting nonlinear dependencies in eurozone peripheral equity markets : a multistep filtering approach

Avdoulas, Christos; Bekiros, Stelios; Boubaker, Sabri - In: Economic modelling 58 (2016), pp. 580-587

Persistent link: https://www.econbiz.de/10011647569

Stock and currency market linkages : new evidence from realized spillovers in higher moments

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of economics & finance : IREF 42 (2016), pp. 167-185

Persistent link: https://www.econbiz.de/10011625106

Recession propagation in small regional economies : spatial spillovers and endogenous clustering

Shibaev, Sergei S. - 2016

This paper develops a statistical model for measuring spatial interactions when estimating macroeconomic regimes and regime shifts. The model is applied to study the contagion and propagation of recessions in small regional economies in the United States from 1990 to 2015. The empirical analysis...

Persistent link: https://www.econbiz.de/10011567460

Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the...

Persistent link: https://www.econbiz.de/10011536626

Technology spillover effects and economic integration evidence from integrating EU countries

Hafner, Kurt - In: Applied economics 46 (2014) 25/27, pp. 3021-3036

Persistent link: https://www.econbiz.de/10010418165

The multivariate simultaneous unobserved components model and identification via heteroskedasticity

Li, Mengheng; Mendieta-Muñoz, Ivan - 2019

We propose a multivariate simultaneous unobserved components framework to determine the two-sided interactions between structural trend and cycle innovations. We relax the standard assumption in unobserved components models that trends are only driven by permanent shocks and cycles are only...

Persistent link: https://www.econbiz.de/10012010854

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