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Essays on asset pricing with contagion, endogenous growth, and long-run risk

Grüning, Patrick - 2015

Persistent link: https://www.econbiz.de/10010530710

Sources of fluctuations in Islamic, U.S., EU, and Asia equity markets : the roles of economic uncertainty, interest rates, and stock indexes

Hammoudeh, Shawkat; Kim, Won Joong; Sarafrazi, Soodabeh - In: Emerging markets finance & trade : a journal of the … 52 (2016) 4/6, pp. 1195-1209

Persistent link: https://www.econbiz.de/10011563286

On the accuracy of VaR estimates based on the variance-covariance approach

Dave, Rakhal D. - In: Risk measurement, econometrics and neural networks : …, (pp. 189-232). 1998

Persistent link: https://www.econbiz.de/10001305354

The effects of U.S. monetary policy uncertainty shock on international equity markets

Aor, Raymond L.; Salisu, Afees A.; Okpe, Isah J. - In: Annals of financial economics 16 (2021) 4, pp. 1-14

Persistent link: https://www.econbiz.de/10013185494

Why do U.S. uncertainties drive stock market spillovers? : international evidence

Balli, Faruk; Hasan, Mudassar; Balli, Hatice Ozer; … - In: International review of economics & finance : IREF 76 (2021), pp. 288-301

Persistent link: https://www.econbiz.de/10013175813

Global impacts of US monetary policy uncertainty shocks

Lastauskas, Povilas; Nguyen, Anh D. M. - 2020

Persistent link: https://www.econbiz.de/10012416845

Global impacts of US monetary policy uncertainty shocks

Lastauskas, Povilas; Nguyen, Anh D. M. - 2021

We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy … setting, we find that US interest rate uncertainty not only drives local output and in ation volatility, but also causes … declines in output, in ation, and the interest rate. Moreover, we document strong global impacts, making the world move in a …

Persistent link: https://www.econbiz.de/10012418859

US equity tail risk and currency risk premia

Fan, Zhenzhen; Londono, Juan M.; Xiao, Xiao - 2019 - This version: July 2019

Persistent link: https://www.econbiz.de/10012065069

Forecasting national recessions of the United States with state-level climate risks : evidence from model averaging in Markov-switching models

Ҫepni, Oğuzhan; Christou, Christina; Gupta, Rangan - 2022

Persistent link: https://www.econbiz.de/10013435218

Forecasting national recessions of the United States with state-level climate risks : evidence from model averaging in Markov-switching models

Cepni, Oguzhan; Christou, Christina; Gupta, Rangan - In: Economics letters 227 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014335747