Showing 41 - 50 of 3,129
The paper studies the effects of fiscal policy in an integrated world economy. The setup is one with habit-forming endogenous rates of time preference and adjustment costs in investment. Most of the predictions of the model are in line with the recent empirical literature on fiscal policy. For...
Persistent link: https://www.econbiz.de/10010869415
This paper evaluates the performance of leading micro-founded pricing-to-market frictions vis-a-vis a set of robust stylized facts about international prices. In order to make that evaluation meaningful, we embed each friction into a unified IRBC framework and parameterize the models in a...
Persistent link: https://www.econbiz.de/10008516589
Pearson's correlation coefficient is typically used for measuring the dependence structure of stock returns …'s rho as an alternative dependence measure. Our approach is purely nonparametric and we avoid any kind of model … significant differences in dependence of stock returns in bull and bear markets. On the other hand the differences are not so …
Persistent link: https://www.econbiz.de/10010304417
that a proper copula (so-called WPM copula) results. In this case, we also derive dependence properties of WPM copulas and …It is well known that the arithmetic mean of two possibly different copulas forms a copula, again. More general, we … focus on the weighted power mean (WPM) of two arbitrary copulas which is not necessary a copula again, as different …
Persistent link: https://www.econbiz.de/10010306946
The proposed work develops a method for classification of the species of a fish given in an image, which is a sub-ordinate level classification problem. Fish image categorization is unique and challenging as the images of same fish species can show significant differences in the fish's...
Persistent link: https://www.econbiz.de/10012043679
approaches require less stringent distributional hypotheses. As shown by Smith (2003), copulas allow great flexibility also in … form of the margins, since it allows separating their modelling from that of the dependence structure. In the present paper …
Persistent link: https://www.econbiz.de/10011324951
), CreditMetrics, KMV) still rely on Gaussian copulas. This paper complements the finance literature providing new insights into the … impact of different copulas in stress test applications using supervisory data of 17 large German banks. Our findings imply … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …
Persistent link: https://www.econbiz.de/10011419995
stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of … dependence structure. First, the results show symmetric dependence and tail dependency equality between the two markets. This … with a too-big-to-fail effect. Second, the authors do not detect structural breaks in the dependence structure in a period …
Persistent link: https://www.econbiz.de/10010322502
We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...
Persistent link: https://www.econbiz.de/10010325732
-RV model achieves the best forecast performance, which highlights the importance of asymmetry and upper tail dependence for … copulas do not improve the accuracy of volatility forecasts. …
Persistent link: https://www.econbiz.de/10010326314