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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 variance is even more persistent than an own innovation unless this effect is …

Persistent link: https://www.econbiz.de/10010341118

How robust are estimated country welfare? : an investigation of welfare ranking, based on indices calculated using random weights.

Olsson, Michael - 2010

We measure country welfare by an index number calculated from welfare components like GDP per capita and expected length of life. We rank countries from high to low welfare using such estimated welfare indices. In such calculation the chosen welfare components, the procedures used to normalize...

Persistent link: https://www.econbiz.de/10011562806

Stock market spread trading : Argentina and Brazil stock indexes

Batten, Jonathan A.; Szilágyi, Péter G.; Wong, … - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 61-76

Persistent link: https://www.econbiz.de/10010465142

Mathematical models for the assessment of collapse in oil prices

Shera, Muhammad; Preda, Vasile - 2018

Persistent link: https://www.econbiz.de/10012302306

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

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

In this paper we examine if Slovak retail gasoline and diesel prices respond more quickly when crude oil price rises rather than when it decreases. The error correction model with irreversible behaviour of explanatory variables is considered to be basic tool for the analysis of asymmetric retail...

Persistent link: https://www.econbiz.de/10012214944

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

Understanding the sources of the exchange rate disconnect puzzle : a variance decomposition approach

Chou, Yu-Hsi - In: International review of economics & finance : IREF 56 (2018), pp. 267-287

Persistent link: https://www.econbiz.de/10012033697

Incomplete financial markets and jumps in asset prices

Crès, Hervé; Markeprand, Tobias; Tvede, Mich - In: Economic theory : official journal of the Society for … 62 (2016) 1/2, pp. 201-219

Persistent link: https://www.econbiz.de/10011554148

The silent diffusion of sticky costs in the HoReCa industry

Irsa, Wolfram - In: Proceedings of the ENTRENOVA - ENTerprise REsearch … 5 (2019) 1, pp. 130-136

Sticky costs materialize when costs increase more with rising an activity than they decrease with falling of the very same amount of the activity. Over time a silent diffusion of sticky costs can be observed in the HoReCa (HOtel/REstaurant/CAtering) industry. In sticky costs literature the cost...

Persistent link: https://www.econbiz.de/10012227604

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