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Herding and anchoring in macroeconomic forecasts : the case of the PMI

Broughton, John B.; Lobo, Bento J. - In: Empirical economics : a journal of the Institute for … 55 (2018) 3, pp. 1337-1355

Persistent link: https://www.econbiz.de/10011950148

Essays in applied panel data econometrics and machine learning

Minhas, Ghalib - 2018

Persistent link: https://www.econbiz.de/10012152001

Anti-herding in the Euribor survey

Sirak, Adjmal Sekander - In: Essays in financial economics, (pp. 32-86). 2018

Persistent link: https://www.econbiz.de/10012169608

The Determinants of Beta Herding : Panel Data Evidence from 16 European Countries

Costa, Filipe; Fortuna, Natércia; Lobão, Júlio - 2022

state-space model of Hwang and Salmon (2004) to capture herding towards the market, size/growth (SMB), value (HML … main conclusions are that herding increases with volatility and decreases with liquidity and sentiment, while market … returns do not explain herding. We estimate that controlling for past herding and macroeconomic conditions, an increase of 10 …

Persistent link: https://www.econbiz.de/10014239592

Herding in foreign direct investment

Levis, Mario; Muradoğlu, Gülnur; Vasileva, Kristina - In: International review of financial analysis 86 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014248551

Essays in applied panel data econometrics

Kremer, Stephanie - 2011

Persistent link: https://www.econbiz.de/10009503994

Modified profile likelihood inference and interval forecast of the burst of financial bubbles

Filimonov, Vladimir; Demos, Guilherme; Heinimann, Hans … - 2016

We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large number of parameters. We apply the general approach to the Log-Periodic Power Law Singularity (LPPLS) model of...

Persistent link: https://www.econbiz.de/10011514498

Systemic risk indicators based on nonlinear PolyModel

Ye, Xingxing; Douady, Raphaël - In: Journal of risk and financial management : JRFM 12 (2019) 1/2, pp. 1-24

The global financial market has become extremely interconnected as it demonstrates strong nonlinear contagion in times of crisis. As a result, it is necessary to measure financial systemic risk in a comprehensive and nonlinear approach. By establishing a large set of risk factors as the main...

Persistent link: https://www.econbiz.de/10011961709

Nonlinear vs. nonstationary of hysteresis in unemployment : evidence from OECD economies

Lin, Cheng-hsun; Kuo, Nai-fong; Yuan, Cheng-da - In: Applied economics letters 15 (2008) 4/6, pp. 483-487

Persistent link: https://www.econbiz.de/10003727523

Nonlinear vs. nonstationary of hysteris in unemployment : evidence from OECD economies

Lin, Cheng-hsun; Kuo, Nai-fong; Yuan, Cheng-da - In: Applied economics letters 15 (2008) 10/12, pp. 905-909

Persistent link: https://www.econbiz.de/10003785829