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Stein-like common correlated effects estimation under structural breaks

Parsaeian, Shahnaz - In: Econometrics : open access journal 12 (2024) 2, pp. 1-23

This paper develops a Stein-like combined estimator for large heterogeneous panel data models under common structural breaks. The model allows for cross-sectional dependence through a general multifactor error structure. By utilizing the common correlated effects (CCE) estimation technique, we...

Persistent link: https://www.econbiz.de/10014636414

Measuring macroeconomic convergence and divergence within EMU using long memory

Dräger, Lena; Kolaiti, Theoplasti; Sibbertsen, Philipp - 2020

This paper measures the convergence or divergence of EMU inflation rates and industrial production by testing for the … higher degree of persistence than allowed for in the standard cointegration framework. We investigate both inflation and … can be found as well. In addition, higher inflation persistence can be found for periphery than for core countries. …

Persistent link: https://www.econbiz.de/10012252805

Measuring macroeconomic convergence and divergence within EMU using long memory

Dräger, Lena; Kolaiti, Theoplasti; Sibbertsen, Philipp - In: Empirical economics : a quarterly journal of the … 65 (2023) 5, pp. 2333-2356

Persistent link: https://www.econbiz.de/10014388932

The dynamics among G7 government bond and equity markets and the implications for international capital market diversification

Smith, Kenneth L.; Swanson, Peggy Eubanks - In: Research in international business and finance 22 (2008) 2, pp. 222-245

Persistent link: https://www.econbiz.de/10003756674

Why does the correlation between stock and bond returns vary over time?

Andersson, Magnus - In: Applied financial economics 18 (2008) 1/3, pp. 139-151

Persistent link: https://www.econbiz.de/10003739018

Volatility transmission between stock and bond markets

Steeley, James M. - In: Journal of international financial markets, … 16 (2006) 1, pp. 71-86

Persistent link: https://www.econbiz.de/10003285791

Volatility linkages of the equity, bond and money markets : an implied volatility approach

Wang, Kent - In: Accounting and finance : journal of the Accounting … 49 (2009) 1, pp. 207-219

Persistent link: https://www.econbiz.de/10003820834

International stock-bond correlations in a simple affine asset pricing model

D'Addona, Stefano; Kind, Axel H. - In: Journal of banking & finance 30 (2006) 10, pp. 2747-2765

Persistent link: https://www.econbiz.de/10003376433

Asymmetric dynamics in the correlations of global equity and bond returns

Cappiello, Lorenzo; Engle, Robert F.; Sheppard, Kevin - In: Journal of financial econometrics : official journal of … 4 (2006) 4, pp. 537-572

Persistent link: https://www.econbiz.de/10003565737

Commonality in the time-variation of stock-stock and stock-bond return comovements

Connolly, Robert A.; Stivers, Christopher T.; Sun, Licheng - In: Journal of financial markets 10 (2007) 2, pp. 192-218

Persistent link: https://www.econbiz.de/10003510378