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Persistent link: https://www.econbiz.de/10012432879
We analyze output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multi …-level quantile regression approach, we find strong heterogeneity in growth risk, particularly between the more vulnerable durable …
Persistent link: https://www.econbiz.de/10013229404
We analyze output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multi …-level quantile regression approach, we find strong heterogeneity in growth risk, particularly between the more vulnerable durable …
Persistent link: https://www.econbiz.de/10012510760
Persistent link: https://www.econbiz.de/10001447137
-excitation for these series. Out-of-sample, we find that the models that include spillover effects forecast crashes and the Value-at-Risk …
Persistent link: https://www.econbiz.de/10011376256
Persistent link: https://www.econbiz.de/10011658747
We propose various specification tests for Hawkes models based on the Lagrange Multiplier (LM) principle. Hawkes models can be used to model the occurrence of extreme events in financial markets. Our specific testing focus is on extending a univariate model to a multivariate model, that is, we...
Persistent link: https://www.econbiz.de/10011298883
Persistent link: https://www.econbiz.de/10011860928
-excitation for these series. Out-of-sample, we find that the models that include spillover effects forecast crashes and the Value-at-Risk …
Persistent link: https://www.econbiz.de/10013013240
Persistent link: https://www.econbiz.de/10000952467