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A residual-based threshold method for detection of units that are too big to fail in large factor models
Kapetanios, George; Pesaran, M. Hashem; Reese, Simon - 2018
The importance of units with pervasive impacts on a large number of other units in a network has become increasingly recognized in the literature. In this paper we propose a new method to detect such influential or dominant units by basing our analysis on unit-specific residual error variances...
Persistent link: https://www.econbiz.de/10011942707
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Detection of units with pervasive effects in large panel data models
Kapetanios, George; Pesaran, M. Hashem; Reese, S. - In: Journal of econometrics 221 (2021) 2, pp. 510-541
Persistent link: https://www.econbiz.de/10012619248
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Econometric issues in the analysis of contagion
Pesaran, M. Hashem; Pick, Andreas - 2004
This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion … the solution is not unique, and for sufficiently large values of the contagion coefficients it has interesting bifurcation … contagion effects in the presence of inter-dependencies the equations for the individual markets or countries must contain …
Persistent link: https://www.econbiz.de/10011402451
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Econometric issues in the analysis of contagion
Pesaran, M. Hashem; Pick, Andreas - 2004
This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion … the solution is not unique, and for sufficiently large values of the contagion coefficients it has interesting bifurcation … contagion effects in the presence of inter-dependencies the equations for the individual markets or countries must contain …
Persistent link: https://www.econbiz.de/10002047440
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Econometric issues in the analysis of contagion
Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001877340
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Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes
Pesaran, M. Hashem - 2016
This paper proposes a new double-question survey method that elicits information about how individuals' subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief...
Persistent link: https://www.econbiz.de/10012978031
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Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes
Pesaran, M. Hashem - 2017
This paper proposes a new double-question survey method that elicits information about how individuals subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief regarding...
Persistent link: https://www.econbiz.de/10012963776
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Double-question survey measures for the analysis of financial bubbles and crashes
Pesaran, M. Hashem; Johnsson, Ida - 2016
Persistent link: https://www.econbiz.de/10011630772
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A Residual-based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models
Kapetanios, George; Pesaran, M. Hashem; Reese, Simon - 2018
The importance of units with pervasive impacts on a large number of other units in a network has become increasingly recognized in the literature. In this paper we propose a new method to detect such influential or dominant units by basing our analysis on unit-specific residual error variances...
Persistent link: https://www.econbiz.de/10011957217
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Model averaging and value-at-risk based evaluation of large multi-asset volatility models for risk management
Pesaran, M. Hashem; Zaffaroni, Paolo - 2005
Persistent link: https://www.econbiz.de/10003224850