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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
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Decomposing risk in dynamic stochastic general equilibrium : conference paper
Lan, Hong; Meyer-Gohde, Alexander - 2014 - This version: December 19, 2013
We analyze the theoretical moments of a nonlinear approximation to real business cycle model with stochastic volatility … and recursive preferences. We find that the conditional heteroskedasticity of stochastic volatility operationalizes a time …-varying risk adjustment channel that induces variability in conditional asset pricing measures and assigns a substantial portion of …
Persistent link: https://www.econbiz.de/10010487749
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Forecasting German key macroeconomic variables using large dataset methods : conference paper
Pirschel, Inske; Wolters, Maik H. - 2014
estimation of the different models, respectively. We find that overall the large Bayesian VAR provides the most precise forecasts …
Persistent link: https://www.econbiz.de/10010489849
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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
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Commodity prices and markets : [NBER East Asia Seminar on Economics, volume 20 ; collection of papers that were presented at the 20th Annual East Asia Seminar on Economics (EASE) ;...
Itō, Takatoshi (contributor); Rose, Andrew (contributor) - 2011
relationship between trade and exchange rate volatility / Christian Broda and John Romalis -- Comments: Chaiyasit Anuchitworawong …
Persistent link: https://www.econbiz.de/10008909722
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Risk management in volatile financial markets
Bruni, Franco (contributor); Fair, Donald E. (contributor);  … - 1996
Persistent link: https://www.econbiz.de/10000938881
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Nonparametric analysis of random utility models : testing ; conference paper
Kitamura, Yuichi; Stoye, Jörg - 2013 - This version: February 8, 2013
This paper aims at formulating econometric tools for investigating stochastic rationality, using the Random Utility Models (RUM) to deal with unobserved heterogeneity nonparametrically. Theoretical implications of the RUM have been studied in the literature, and in particular this paper utilizes...
Persistent link: https://www.econbiz.de/10010342819
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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
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Crises and Uncertainty in the Economy
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