Narrow search
Showing 1 - 10 of 838,443
Cover Image
Financial regimes and uncertainty shocks
Alessandri, Piergiorgio; Mumtaz, Haroon - 2014
uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …
Persistent link: https://www.econbiz.de/10010472852
Cover Image
Testing for financial spillovers in calm and turbulent periods
Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African journal of monetary and economic integration 18 (2018) 2, pp. 1-27
It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …
Persistent link: https://www.econbiz.de/10013348418
Cover Image
Does uncertainty matter for US financial market volatility spillovers? : empirical evidence from a nonlinear Granger causality network
Fang, Tong; Su, Zhi - In: Applied economics letters 28 (2021) 21, pp. 1877-1883
Persistent link: https://www.econbiz.de/10012697702
Cover Image
Financial frictions and global spillovers
Metiu, Norbert; Hilberg, Björn; Grill, Michael - 2015
access to credit to one characterized by tight credit whenever the bond risk premium exceeds a critical threshold. US …
Persistent link: https://www.econbiz.de/10010493885
Cover Image
Chapter 18. Macro, Money, and Finance : A Continuous-Time Approach
Brunnermeier, M.K.; Sannikov, Y. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1497-1545). 2016
(1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the Volatility …) undercapitalized sectors (8) time-varying risk premia, and (9) the external funding premium are part of the analysis. Financial …
Persistent link: https://www.econbiz.de/10014024265
Cover Image
Measuring asset market linkages : nonlinear dependence and tail risk
Escanciano, Juan Carlos; Hualde, Javier - 2017
Persistent link: https://www.econbiz.de/10011763135
Cover Image
Interactions between financial markets and macroeconomic variables in EU : a nonlinear modeling approach
Albu, Lucian-Liviu; Lupu, Radu; Călin, Adrian Cantemir - 2015
There is a general acceptance of the fact that a significant direct relationship between financial markets and macroeconomic variables exists, especially by considering the assertion that developed financial markets correspond to high GDP levels. This paper provides an investigation of the...
Persistent link: https://www.econbiz.de/10011480254
Cover Image
The relation between overreaction in forecasts and uncertainty : a nonlinear approach
Leppin, Julian Sebastian - 2014 - This version: November 2014
account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression …
Persistent link: https://www.econbiz.de/10010438928
Cover Image
The relation between overreaction in forecasts and uncertainty : a nonlinear approach ; conference paper
Leppin, Julian Sebastian - 2014 - This version: February 2014
This paper examines if overreaction of oil price forecasters is affected by uncertainty. Furthermore, it takes into account joint effects of uncertainty and oil price returns on forecast changes. The panel smooth transition regression model from Gonz alez et al. (2005) is applied with univariate...
Persistent link: https://www.econbiz.de/10010480543
Cover Image
Extreme risk spillovers across financial markets under different crises
Cao, Yufei - In: Economic modelling 116 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10014512465