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Measuring persistence in volatility spillovers : conference paper
Conrad, Christian; Weber, Enzo - Wettbewerbspolitik und Regulierung in einer Globalen … - 2013
conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a …This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … foreign volatility innovation on a conditional variance is even more persistent than an own innovation unless this effect is …
Persistent link: https://www.econbiz.de/10010341118
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US monetary policy and spillovers to select EMEs : an episodic analysis
Sahoo, Satyananda; Shankar, Shiv; Anthony, Jessica M. - In: Research in finance 36 (2020), pp. 67-97
Persistent link: https://www.econbiz.de/10012583839
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Structural breaks in volatility spillovers between international financial markets : contagion or mere interdependence?
Jung, Robert; Maderitsch, Robert - In: Journal of banking & finance 47 (2014), pp. 331-342
Persistent link: https://www.econbiz.de/10010506950
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Spillover and comovement : the contagion mechanism of systemic risks between the US and Chinese stock markets
Liu, Yaqing; Ouyang, Hongbing - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 109-121
Persistent link: https://www.econbiz.de/10010465130
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The asymmetric effect of volatility spillover in global virtual financial asset markets : the case of Bitcoin
Dong, Hao; Chen, Liming; Zhang, Xinyi; Failler, Pierre; … - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 6, pp. 1293-1311
Persistent link: https://www.econbiz.de/10012211636
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Monitoring the pandemic : a fractional filter for the COVID-19 contact rate
Hartl, Tobias - 2021
specification reflects key characteristics of aggregate social behavior such as strong persistence and gradual adjustments to new …
Persistent link: https://www.econbiz.de/10013332340
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Directed graphs and variable selection in large vector autoregressive models
Bertsche, Dominik; Brüggemann, Ralf; Kascha, Christian - 2019 - First draft: July 17, 2017, this version: December 10, 2018
We represent the dynamic relation among variables in vector autoregressive (VAR) models as directed graphs. Based on these graphs, we identify so-called strongly connected components (SCCs). Using this graphical representation, we consider the problem of variable selection. We use the relations...
Persistent link: https://www.econbiz.de/10012317407
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Mathematical models for the assessment of collapse in oil prices
Shera, Muhammad; Preda, Vasile - 2018
Persistent link: https://www.econbiz.de/10012302306
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Forecasting GDP at the regional level with many predictors
Lehmann, Robert; Wohlrabe, Klaus - 2013
In this paper, we assess the accuracy of macroeconomic forecasts at the regional level using a unique data set at quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden-Württemberg) and Eastern Germany. We overcome the problem of a...
Persistent link: https://www.econbiz.de/10011685344
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Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model
Hartwig, Benny - 2020
Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … applications. Specifically, alternative estimates on the evolution of U.S. systematic monetary policy and in ation-gap persistence …
Persistent link: https://www.econbiz.de/10012424283