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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

Proceedings of the Hong Kong International Workshop on Statistics and Finance: an Interface : Centre of Financial Time Series, the University of Hong Kong 4-8 July 1999

Chan, Wai-Sum (contributor); Li, Wai Keung (contributor); … - International Workshop on Statistics and Finance <1999, … - 2000

Persistent link: https://www.econbiz.de/10001490756

Special issue on high frequency data in finance ; Pt. 2

Baillie, Richard (contributor); … - 1999

Persistent link: https://www.econbiz.de/10001558702

Detecting financial contagion in a multivariate system : conference paper

Blatt, Dominik; Candelon, Bertrand; Manner, Hans - 2014

multivariate model. First, it identifies structural breaks in the volatility of a given set of countries. Then a structural break …

Persistent link: https://www.econbiz.de/10010484769

Government forecasts of budget balances under asymmetric loss : international evidence ; conference paper

Pierdzioch, Christian; Ruelke, Jan-Christoph - 2014

We study the loss function of 15 European governments as implied by their budget balance forecasts. Results suggest that the shape of the loss function varies across countries. The loss function becomes more asymmetric as the forecast horizon increases and in advance of parliamentary election....

Persistent link: https://www.econbiz.de/10010482497

Point and density forecasts for the Euro area using many predictors : are large BVARs really superior?

Berg, Tim Oliver; Henzel, Steffen - 2013

Forecast models with large cross-sections are often subject to overparameterization leading to unstable parameter estimates and hence inaccurate forecasts. Recent articles suggest that a large Bayesian vector autoregression (BVAR) with sufficient prior information dominates competing approaches....

Persistent link: https://www.econbiz.de/10010342246

Proceedings of the COVid-19 Empirical Research (COVER) Conference : Milan, Italy, October 30th, 2020

Biganzoli, Elia (ed.); Manzi, Giancarlo (ed.); … - 2022

The Covid-19 pandemic has spread across the world at a rate never seen before, affecting different countries and having a huge impact not only on health care systems but also on economic systems. Never as in this situation the continuous exchange of views between scientists of different...

Persistent link: https://www.econbiz.de/10013259476

Special issue on advances in regime-switching models for business cycle research and financial analysis

Baltagi, Badi H. (contributor); Raj, Baldev (contributor); … - 2002

Persistent link: https://www.econbiz.de/10001658097

Applied time series econometrics

Lütkepohl, Helmut (ed.); Krätzig, Markus (contributor) - 2009 - Transferred to digital printing

Persistent link: https://www.econbiz.de/10009702029

Advances in quantitative asset management

Dunis, Christian (contributor) - 2000

Persistent link: https://www.econbiz.de/10001433749