Commodity style-integration is appealing because by forming a unique long-short portfolio with simultaneous exposure to mildly correlated factors, a larger risk premium can be captured over time than with any of the underlying standalone styles. A practical decision that a commodity...

This paper examines the connectedness between oil and stock markets using the WTI oil price and 10 S&P 500 price subindices data from 1989 to 2021. We present a novel approach for constructing a connectedness index based on a dynamic stochastic general equilibrium (DSGE) model with Bayesian...

This paper brings forward a novel Bayesian estimation and model selection method for spatial dynamic panel data model with convex combinations of different spatial weight matrices. We reparameterize the model as a high order spatial panel model, and recover the importance weights by a...

We estimate the impact of changes in non-performing loan (NPL) ratios on aggregate banking sector variables and the macroeconomy by estimating a panel Bayesian VAR model for twelve euro area countries. The main findings are as follows: i) An impulse response analysis shows that an exogenous...

This study proposes a Bayesian approach for exact finite-sample inference of an instrument-free estimation method that builds upon joint estimation using copulas to deal with endogenous covariates. Although copula approaches with applications to handle regressor-endogeneity have been frequently...

We propose a modified version of the augmented Kalman filter (AKF) to evaluate the likelihood of linear and time-invariant state-space models (SSMs). Unlike the regular AKF, this augmented steady-state Kalman filter (ASKF), as we call it, is based on a steady-state Kalman filter (SKF). We show...

Amidst concerns about replicability but also thanks to the professionalisation of labs, the rise of pre-registration, the switch to online experiments, and enhanced computational power, experimental economics is undergoing rapid changes. They all call for efficient designs and data analysis,...