Search Results - subject:"Structural instability"

Disentangling structural breaks in high dimensional factor models

Koo, Bonsoo; Wong, Benjamin; Zhong, Ze-Yu - 2023

Persistent link: https://www.econbiz.de/10014266817

Are shadow rate models of the Treasury yield curve structurally stable?

Kim, Don H.; Priebsch, Marcel A. - 2020

Persistent link: https://www.econbiz.de/10012389081

How do distinct firm assets and behaviors shape the form of alliance networks and provoke their instability? A multi-level network analysis

Gay, Brigitte - In: Journal of Innovation Economics n°16 (2015) 1, pp. 73-99

This study explores the relative contributions of large incumbent and small innovative firms in explaining the different structures and dynamics of interorganizational networks across multi-levels of analysis, egocentric, sectoral, and industrial. Empirically, we study alliance network evolution...

Persistent link: https://www.econbiz.de/10011164403

Melting down : systemic financial instability and the macroeconomy ; conference paper

Hubrich, Kirstin; Hartmann, Philipp; Kremer, Manfred; … - 2013 - This version: August 30, 2013, Preliminary and incomplete

We integrate systemic financial instability in an empirical macroeconomic model for the euro area. We find that at times of widespread financial instability the macroeconomy functions fundamentally differently from tranquil times. We employ a richly specified Markov-Switching...

Persistent link: https://www.econbiz.de/10010336276

Myths and Facts About the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns

Guidolin, Massimo; Ravazzolo, Francesco; Tortora, … - 2011

This paper uses a multi-factor pricing model with time-varying risk exposures and premia to examine whether the 2003-2006 period has been characterized, as often claimed by a number of commentators and policymakers, by a substantial missprcing of publicly traded real estate assets (REITs). The...

Persistent link: https://www.econbiz.de/10012143784

Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns

Guidolin, Massimo; Ravazzolo, Francesco; Tortora, … - Norges Bank - 2011

Persistent link: https://www.econbiz.de/10009393966

The real interest rate, the real oil price, and US unemployment revisited

Andreopoulos, Spyros - School of Economics, Finance and Management, University … - 2006

; Regime Switching; Structural Instability JEL classification: C32, E24, E32 … justice to the structural instability encountered in the relationships of interest. This allows for a more precise … present paper. Motivated by structural instability in the granger causal relationship between real input prices and …

Persistent link: https://www.econbiz.de/10005077117

Non-Linear Aspects of Capital Market Integration

Mancuso, Anthony Joseph - 2003

, employing a method which incorporates non-linear behavior. Section Five investigates the data for structural instability …

Persistent link: https://www.econbiz.de/10009431329

End-of-Sample Instability Tests

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2002

This paper considers tests for structural instability of short duration, such as at the end of the sample. The key … processes that are strictly stationary and ergodic under the null hypothesis of no structural instability. …

Persistent link: https://www.econbiz.de/10005593368