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Financial and legal institutions and firm size

Beck, Thorsten - 2003

Persistent link: https://www.econbiz.de/10010523437

Uncertainty and economic activity : a global perspective

Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2014

The 2007-2008 global financial crisis and the subsequent anemic recovery have rekindled academic interest in quantifying the impact of uncertainty on macroeconomic dynamics. This paper studies the interrelation between financial markets volatility and economic activity assuming that both...

Persistent link: https://www.econbiz.de/10011286232

Uncertainty and economic activity : a global perspective

Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2014

The 2007-2008 global financial crisis and the subsequent anemic recovery have rekindled academic interest in quantifying the impact of uncertainty on macroeconomic dynamics based on the premise that uncertainty causes economic activity to slow down and contract. In this paper, we study the...

Persistent link: https://www.econbiz.de/10010338658

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, M. Hashem - 2010

Persistent link: https://www.econbiz.de/10003981032

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

Persistent link: https://www.econbiz.de/10003965868