This study is the first to examine the role of discussants in academic knowledge production. Comparing articles of similar quality with andwithout discussants,we find that having a discussant increases a paper's probability of publication in prestigious journals, but not its citation count....

Macroeconomic modeling in the context of a stochastic continuous-time environment has become more popular in recent years. Most of these models are based on stochastic differential equations to describe macroeconomic dynamics and stochastic uncertainty is mostly modeled by Brownian motions or...

On November 08, 2016, India took a decisive step towards going “cashless” by suddenly announcing withdrawal of its existing currency notes of two highest denominations, namely, the Rs. 500/= and the Rs. 1000/=. The move, announced with a suddenness that took the entire nation by surprise,...

Due to changing procurement policies and procurement markets, suppliers increasingly face evaluation of their holistic supplier performance. In this context, the assessment of financial strength is increasingly emphasized. Hence, (potential) suppliers are required to prove their financial...

We consider a multivariate Markov-switching GARCH model which allows for regime-specific volatility dynamics, leverage effects, and correlation structures. Stationarity conditions are derived, and consistency of the maximum likelihood estimator (MLE) is established under the assumption of...

We develop a misspecification test for the multiplicative two-component GARCH-MIDAS model suggested in Engle et al. (2013). In the GARCH-MIDAS model a short-term unit variance GARCH component fluctuates around a smoothly timevarying long-term component which is driven by the dynamics of a...

We propose a new monetary policy surprise measure based on cojumps in tick-data of a short and long term interest rate. We extend a recently proposed test for cojumps to distinguish policy announcements that shift the short and long end of the yield curve in the same direction (level shift) and...

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being considered an indicator of either information flow or uncertainty. We show in a stylized model economy that both views suggest volatility-dependent cross-market spillovers. If...

In this paper we analyze the performance of supremum augmented Dickey-Fuller (SADF), generalized SADF (GSADF), and backward SADF (BSADF) tests, as introduced by Phillips et al. (International Economic Review 56:1043-1078, 2015) for detecting and date-stamping financial bubbles. In Monte Carlo...