Narrow search
Showing 1 - 10 of 169
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Common trends and common cycles among interest rates on the G7-countries
Lindenberg, Nannette; Westermann, Frank - In: Journal of macroeconomics 34 (2012) 4, pp. 1125-1140
Persistent link: https://www.econbiz.de/10009703299
Cover Image
VAR for VaR: measuring tail dependence using multivariate regression quantiles
White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188
Persistent link: https://www.econbiz.de/10011498808
Cover Image
Effects of US 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/10011409761
Cover Image
Short-, long- and cross-term comovement of OMXH25 stocks
Jach, Agnieszka; Felixson, Karl - In: Nordic journal of business : NJB 68 (2019) 3, pp. 23-39
Persistent link: https://www.econbiz.de/10012304463
Cover Image
On the relation between financial reporting quality and country attributes : research challenges and opportunities
Isidro, Helena; Nanda, Dhananjay; Wysocki, Peter D. - In: The accounting review : a publication of the American … 95 (2020) 3, pp. 279-314
Persistent link: https://www.econbiz.de/10012254267