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Ben Ameur, Hachmi (ed.); Ftiti, Zied (ed.); … - 2022

, macroeconomic imbalance, economic growth, economic integration, financial risk, volatility and trade effects. The main aims of this … Monetary Union -- 3. Macroeconomic-Financial Policies And Climate Change Nexus: Theory & Practices -- 4. Exchange Market … Volatility Spillover In Time Of Crisis: Evidence From A Smooth Transition Regression Application -- 5. Bank Lending …

Persistent link: https://www.econbiz.de/10013503483

Financialization in commodity markets : disentangling the crisis from the style effect ; conference paper

Adams, Zeno; Glück, Thorsten - 2013

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of...

Persistent link: https://www.econbiz.de/10010339396

Financial optimization : [in November 1989 a conference took place at The Wharton School, University of Pennsylvania on the topic of financial optimization]

Zenios, Stavros Andrea (contributor); Zenios, Stavros A. (ed.) - 1995 - Reprinted

Persistent link: https://www.econbiz.de/10013493619

A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper

Gribisch, Bastian - 2013

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...

Persistent link: https://www.econbiz.de/10010341025

The relation between overreaction in forecasts and uncertainty : a nonlinear approach ; conference paper

Leppin, Julian Sebastian - 2014 - This version: February 2014

This paper examines if overreaction of oil price forecasters is affected by uncertainty. Furthermore, it takes into account joint effects of uncertainty and oil price returns on forecast changes. The panel smooth transition regression model from Gonz alez et al. (2005) is applied with univariate...

Persistent link: https://www.econbiz.de/10010480543

Financial risk in insurance

Ottaviani, Giovanni (contributor); Ottaviani, Giuseppe (ed.) - 1995

Persistent link: https://www.econbiz.de/10000532103

New operational approaches for financial modelling

Zopounidis, Constantin (ed.) - 1997

Persistent link: https://www.econbiz.de/10014267884

Sign restrictions and statistical identification under volatility breaks : simulation based evidence and an empirical application to monetary policy analysis ; conference paper

Herwartz, Helmut; Plödt, Martin - 2014

relations. In contrast, resorting only to commonly used sign restrictions bears a higher risk of failing to recover these …

Persistent link: https://www.econbiz.de/10010482469

Nonstationary-volatility robust panel unit root tests and the great moderation : conference paper

Hanck, Christoph; Czudaj, Robert - 2013

volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … unit roots that is, unlike many previously suggested tests, robust to such volatility processes. The panel test is based on … Tests for Models with Non-Stationary Volatility"]. The panel test is robust to general patterns of cross …

Persistent link: https://www.econbiz.de/10010343777

Exchange rate economics : where do we stand?

De Grauwe, Paul (ed.) - 2005

Recent theoretical developments in exchange rate economics have led to important new insights into the functioning of the foreign exchange market. The simple models of the 1970s, which could not withstand empirical evaluation, have been succeeded by more complex models that draw on theoretical...

Persistent link: https://www.econbiz.de/10013481744

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