Showing 1 - 10 of 539
Persistent link: https://www.econbiz.de/10003491106
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …
Persistent link: https://www.econbiz.de/10003586562
Persistent link: https://www.econbiz.de/10003499671
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …
Persistent link: https://www.econbiz.de/10013316934
Persistent link: https://www.econbiz.de/10000142718
Persistent link: https://www.econbiz.de/10003814581
Persistent link: https://www.econbiz.de/10003851191
Persistent link: https://www.econbiz.de/10003978514
direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …
Persistent link: https://www.econbiz.de/10003807908
This paper proposes a theoretical framework to analyze the impacts of credit and technology shocks on business cycle dynamics, where firms rely on banks and households for capital financing. Firms are identical ex ante but differ ex post due to different realizations of firm specific technology...
Persistent link: https://www.econbiz.de/10013119292