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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 … multivariate stochastic volatility model is proposed as a robust alternative. …
Persistent link: https://www.econbiz.de/10012424283
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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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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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How informative is high-frequency data for tail risk estimation and forecasting? : an intrinsic time perspectice
Dimitriadis, Timo; Halbleib, Roxana - 2019
This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...
Persistent link: https://www.econbiz.de/10012317619
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Long-run bulls and bears
Albuquerque, Rui; Eichenbaum, Martin S.; Papanikolaou, … - In: Journal of monetary economics 76 (2015), pp. 21-36
Persistent link: https://www.econbiz.de/10011488090
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Asymmetric causality between exchange rate and interest rate differentials : a test of international capital mobility
Jauhari Dahalan; Mohammed, Umar - In: International journal of globalisation and small … 9 (2017) 1, pp. 70-79
Persistent link: https://www.econbiz.de/10011803124
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What drives inflation in advanced and emerging market economies?
Kamber, Güneş; Mohanty, M. S.; Morley, James C. - In: Inflation dynamics in Asia and the Pacific, (pp. 21-36). 2020
Persistent link: https://www.econbiz.de/10012250092
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Impact of exchange rate on stock market
Suriani, Seri; Kumar, M. Dileep; Jamil, Farhan; Saqib Muneer - In: International journal of economics and financial issues … 5 (2015) 1, pp. 385-388
Persistent link: https://www.econbiz.de/10011691201
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Are PIIGS so different? : an empirical analysis of demand and supply shocks
Syssoyeva-Masson, Irina; Andrade, João de Sousa - In: Panoeconomicus 64 (2017) 2, pp. 189-222
Persistent link: https://www.econbiz.de/10011724004
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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