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...

Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by high-frequency variables and their lags. To account for temporal instabilities in this relationship, this paper discusses an extension to MIDAS with time-varying parameters, which...

Due to their well-known indeterminacies, factor models require identifying assumptions to guarantee unique parameter estimates. For Bayesian estimation, these identifying assumptions are usually implemented by imposing constraints on certain model parameters. This strategy, however, may result...

Consequences of path-dependent supply side hysteresis on the market equilibrium are illustrated. Supply is only a subsystem of the entire market with its forcing variable (price) being endogenous from the perspective of the entire market. This results in feedbacks on the equilibrium of price and...