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Monitoring the pandemic : a fractional filter for the COVID-19 contact rate
Hartl, Tobias - 2021
This paper aims to provide reliable estimates for the COVID-19 contact rate of a Susceptible-Infected-Recovered (SIR) model, From observable data on confirmed, recovered, and deceased cases, a noisy measurement for the contact rate can be constructed, To filter out measurement errors and...
Persistent link: https://www.econbiz.de/10013332340
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Fundamental determinants of exchange rate expectations
Beckmann, Joscha; Czudaj, Robert - 2020
This paper provides a new perspective on the exchange rate disconnect puzzle by referring to the expectations building mechanism in foreign exchange markets. Therefore, we analyze the role of expectations regarding macroeconomic fundamentals for expected exchange rate changes. In doing so, we...
Persistent link: https://www.econbiz.de/10012435503
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Measuring persistence in volatility spillovers : conference paper
Conrad, Christian; Weber, Enzo - Wettbewerbspolitik und Regulierung in einer Globalen … - 2013
This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a foreign volatility innovation on a conditional...
Persistent link: https://www.econbiz.de/10010341118
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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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Analysis of asymmetry in Slovak gasoline and diesel retail market
Szomolányi, Karol; Lukáčik, Martin; Lukáčiková, … - In: Proceedings of the ENTRENOVA - ENTerprise REsearch … 5 (2019) 1, pp. 359-366
the link between the gasoline and diesel markets, we assume a common co-integration relationship. Therefore, we also …
Persistent link: https://www.econbiz.de/10012214944
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An equilibrium foundation of the Soros chart
Kano, Takashi; Morita, Hiroshi - In: Journal of the Japanese and international economies : … 37 (2015), pp. 21-42
Persistent link: https://www.econbiz.de/10011486603
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A random walk of stock prices in Visegrad Group : efficient market hypothesis
Saglam, Yagmur; Guresci, Gulcin - In: Efficiency in business and economics : proceedings from …, (pp. 175-185). 2018
policy in equity markets the co-integration between interest rates and stock prices is also examined by the multiple … structural breaks co-integration test which is developed by Basher and Westerlund (2009). This test considers the cross …-section dependence between individual units. According to the test results; there is co-integration between interest rates and stock …
Persistent link: https://www.econbiz.de/10012230857
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Time scale and fractionality in financial time series
Sproul, Thomas W. - In: Agricultural finance review 76 (2016) 1, pp. 76-93
Persistent link: https://www.econbiz.de/10011695555
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The impact of new housing supply on the distribution of rents
Mense, Andreas - 2020 - This version: February 26, 2020; first version: January 10, 2020
I estimate the impact of market-rate new housing supply on the local rent distribution. As an exogenous shifter of new housing supply, I exploit local weather shocks during the construction phase that lead to temporary delays in housing completions at the municipal level. Adding one new housing...
Persistent link: https://www.econbiz.de/10012426635
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Towards an understanding of credit cycles : do all credit booms cause crises?
Barrell, Ray; Karim, D.; Macchiarelli, Corrado - In: The European journal of finance 26 (2020) 10, pp. 978-993
Persistent link: https://www.econbiz.de/10012207351