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Measuring comovements by regression quantiles
Cappiello, Lorenzo; Gérard, Bruno; Manganelli, Simone - 2005
This paper develops a rigorous econometric framework to investigate the structure of codependence between random …
Persistent link: https://www.econbiz.de/10011604547
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Effects of U.S. Inflation on Hong Kong and Singapore
Cheung, Yin-Wong; Yuen, Jude - 2002
Standard economic models predict that the choice of an exchange rate regime has important implications for the interdependency of national monetary policies, which is sometimes measured by the degree of inflation transmission across borders. In this paper, we examine how inflation rates in two...
Persistent link: https://www.econbiz.de/10010315430
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Common trends and common cycles among interest rates of the G7-countries
Lindenberg, Nannette; Westermann, Frank - 2009
, serial correlation common feature and codependence tests with nominal and real interest rates using quarterly data from 1975 … of interest rates are not cointegrated. Although some evidence for codependence of higher order is found among European …
Persistent link: https://www.econbiz.de/10010264545
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Codependent VAR Models and the Pseudo-Structural Form
Trenkler, Carsten; Weber, Enzo - 2012
This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC models via the so …-called pseudo-structural form used in the literature. Codependence of order q is given if a linear combination of autocorrelated … testing are only possible if the codependence restrictions can be uniquely imposed. Applying the pseudostructural form, our …
Persistent link: https://www.econbiz.de/10011441812
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Common Trends and Common Cycles among Interest Rates of the G7-Countries
Lindenberg, Nannette; Westermann, Frank - CESifo - 2009
, serial correlation common feature and codependence tests with nominal and real interest rates using quarterly data from 1975 … of interest rates are not cointegrated. Although some evidence for codependence of higher order is found among European …
Persistent link: https://www.econbiz.de/10005405925
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VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles
white, Habert; Kim, Tae-Hwan; Manganelli, Simone - Economic Research Institute, College of Business and … - 2012
This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can simultaneously accommodate models with multiple random variables, multiple confidence levels, and multiple lags of the associated quantiles. The proposed framework can be conveniently...
Persistent link: https://www.econbiz.de/10011191552
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VAR for VaR: measuring tail dependence using multivariate regression quantiles
White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2015
This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can simultaneously accommodate models with multiple random variables, multiple confidence levels, and multiple lags of the associated quantiles. The proposed framework can be conveniently...
Persistent link: https://www.econbiz.de/10011605859
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Codependent VAR Models and the Pseudo-Structural Form
Trenkler, Carsten; Weber, Enzo - Abteilung für Volkswirtschaftslehre, Universität Mannheim - 2012
This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC models via the so …-called pseudo-structural form used in the literature. Codependence of order q is given if a linear combination of autocorrelated … testing are only possible if the codependence restrictions can be uniquely imposed. Applying the pseudostructural form, our …
Persistent link: https://www.econbiz.de/10010904014
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Evidence for state transition and altered serial codependence in US$ interest rates
Rebonato, Riccardo; Chen, Jian - In: Quantitative Finance 9 (2009) 3, pp. 259-278
This paper studies the codependence among, and drawdown and drawup properties of, US$ interest rates. The problem is …
Persistent link: https://www.econbiz.de/10004982259
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Stability of Okun's Law in a Codependent System
Candelon, Bertrand C.B.; Hecq, Alain W.J. - Institut de Recherche Économique et Sociale (IRES), … - 1998
codependence methodology. The first one is a recursive estimation of Okun's coefficient, and the second one is a measure of …
Persistent link: https://www.econbiz.de/10004984955