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Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2011

leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect … theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On …

Persistent link: https://www.econbiz.de/10008855592

Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models

Dufour, Jean-Marie; Jouini, Tarek - Centre Interuniversitaire de Recherche en Analyse des … - 2011

We study two linear estimators for stationary invertible VARMA models in echelon form to achieve identification (model parameter unicity) with known Kronecker indices. Such linear estimators are much simpler to compute than Gaussian maximum-likelihood estimators often proposed for such models,...

Persistent link: https://www.econbiz.de/10008855595

FDI, Trade and Growth in CESEE Countries

Fidrmuc, Jarko; Martin, Reiner - In: Focus on European Economic Integration (2011) 1, pp. 70-89

Central, Eastern and Southeastern Europe (CESEE) had experienced an export boom as well as a surge in capital inflows up to the outbreak of the economic and financial crisis, which had a major negative impact on these two facets of the CESEE growth model. Did the long-term growth prospects of...

Persistent link: https://www.econbiz.de/10008855700

Is per capita GDP non-linear stationary in SAARC countries?

Tiwari, Aviral; Shahbaz, Muhammad; Shabbir, Muhammad - Volkswirtschaftliche Fakultät, … - 2011

Using data for SAARC region, we found real GDP per capita is nonlinear stationary implying that shocks to economy by …

Persistent link: https://www.econbiz.de/10008855813

Testing for Granger causality in large mixed-frequency VARs

Götz T.B.; Hecq A.W. - Graduate School of Business and Economics (GSBE), … - 2014

In this paper we analyze Granger causality testing in a mixed-frequency VAR, originally proposed by Ghysels 2012, where the difference in sampling frequencies of the variables is large. In particular, we investigate whether past information on a low-frequency variable help in forecasting a...

Persistent link: https://www.econbiz.de/10010890986

Is regularization necessary? A Wald-type test under non-regular conditions

Duplinskiy A. - Graduate School of Business and Economics (GSBE), … - 2014

We study hypotheses testing in the presence of a possibly singular covariance matrix. We propose an alternative way to handle possible non-regularity in a covariance matrix of a Wald test, using the identity matrix as the weighting matrix when calculating the quadratic form. The resulting test...

Persistent link: https://www.econbiz.de/10010890987

A Time-Varying Approach of the US Welfare Cost of Inflation

Miller, Stephen M.; Martins, Luis Filipe; Gupta, Rangan - Institut de Préparation à l'Administration et à la … - 2014

Money demand specifications exhibits instability, especially for long spans of data. This paper reconsiders the welfare cost of inflation for the US economy using a flexible timevarying cointegration methodology to estimate the money demand function. We find evidence that the time-varying...

Persistent link: https://www.econbiz.de/10010891027

Causal relationship between asset prices and output in the US: Evidence from state-level panel Granger causality test

Emirmahmutoglu, Furkan; Apergis, Nicholas; Simo-Kengne, … - Institut de Préparation à l'Administration et à la … - 2014

This paper investigates the causal relationship between asset prices and per capita output across 50 US states and the District of Columbia over 1975 to 2012. A bootstrap panel Granger causality approach is applied on a trivariate VAR comprising of real house prices, real stock prices and real...

Persistent link: https://www.econbiz.de/10010891035

Evolution of Monetary Policy in the US: The Role of Asset Prices

Simo-Kengne, Beatrice D.; Miller, Stephen M.; Gupta, Rangan - Institut de Préparation à l'Administration et à la … - 2014

to asset prices during bull regimes. While the bigger monetary effect of stock price shocks occurs prior to the 1970s …, monetary policy appears to respond more strongly to housing price than stock price shocks after the 1970s. Similarly … responses of house prices to monetary policy shocks occur after the 1980s, corresponding to the bull regime in the housing …

Persistent link: https://www.econbiz.de/10010891043

The Relationship between Population Growth and Economic Growth Over 1870-2013: Evidence from a Bootstrapped Panel-Granger Causality Test

Chang, Tsangyao; Chu, Hsiao-Ping; Deale, Frederick W.; … - Institut de Préparation à l'Administration et à la … - 2014

This study applies the bootstrap panel causality test proposed by Kónya (2006), which accounts for both dependency and heterogeneity across countries, to test the causal link between population growth and economic growth in 21 countries over the period of 1870-2013. With regards to the...

Persistent link: https://www.econbiz.de/10010891049