We analyze whether the Olympic Games contribute to a process of democratization in the awarded country, as postulated in the cases of the 2008 and 2014 Olympics, controlling for endogeneity issues that may arise if the decision to award host status by the International Olympic Committee is...

We analyze whether the Olympic Games contribute to a process of democratization in the awarded country, as postulated in the cases of the 2008 and 2014 Olympics, controlling for endogeneity issues that may arise if the decision to award host status by the International Olympic Committee is...

This paper investigates nowcasting Growth-at-Risk (GaR) using consensus forecasts from the Survey of Professional Forecasters (SPF) in the US. Incorporating SPF consensus forecasts into the conditional mean of an AR-GARCH type model significantly enhances nowcasting accuracy for GaR and the...

Purpose - In this paper we examine the validity of the J-curve hypothesis in four Southeast Asian economies (Indonesia, Malaysia, the Philippines and Thailand) over the 1980-2017 period. Design/methodology/approach - We employ the linear autoregressive distributed lags (ARDL) model that captures...

In this paper, we revisit the issue of excess sensitivity of consumption to income and address the weak instrument problem that is well documented in this literature. Using quarterly data for the U.S. economy, we first highlight the weak instrument problem by showing that the use of conventional...

This study examines the stochastic properties of German green and brown stock prices; more specifically, fractional integration methods are applied to daily data on representative green and brown stock indices for the Berlin, Dusseldorf, Frankfurt, Gettex, Munich, and Stuttgart stock exchanges...

Persistence is the speed with which a time series returns to its mean after a shock. Although several measures of persistence have been proposed in the literature, when they are empirically applied, the different measures indicate incompatible messages, as they differ both in the level and the...

Financial inclusion is the process of including the people who lack formal financial services. The concept of financial inclusion emerged globally in the times of millennium and is defined as the availability and usage of formal financial services. It essentially facilitates economic growth; the...

Only unstructured single-path model selection techniques, i.e., Information Criteria, are used by Bounds test of cointegration for model selection. The aim of this paper was twofold; one was to evaluate the performance of these five routinely used information criteria {Akaike Information...

This paper aims at identifying a validated risk model for the cryptocurrency market. We propose a stochastic volatility model with co-jumps in return and volatility (SVCJ) to highlight the role of jumps in returns and volatility in affecting Value-at-Risk (VaR) and Expected Shortfall (ES) in...