Search Results - subject:"Time Variation"

Bekaert, Geert; Engstrom, Eric; Xing, Yuhang - C.E.P.R. Discussion Papers - 2006

We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices and risk premiums. Theoretically, we introduce persistent...

Persistent link: https://www.econbiz.de/10005124333

Time variation in the cointegrating relationship between stock prices and economic activity

McMillan, David - In: International Review of Applied Economics 19 (2005) 3, pp. 359-368

examine any time variation in the nature of the relationship. The results support evidence of a single cointegrating vector … interest rates. However, there is significant time variation and periods of time where contrary results are observed. As such … any model of stock prices needs to account for such time variation …

Persistent link: https://www.econbiz.de/10005482700

Estimating Deterministically Time-Varying Variances in Regression Models

Kapetanios, George - School of Economics and Finance, Queen Mary - 2005

The problem of structural change justifiably attracts considerable attention in econometrics. A number of different paradigms have been adopted ranging from structural breaks which are sudden and rare to time varying coefficient models which exhibit structural change more frequently and...

Persistent link: https://www.econbiz.de/10005106380

Tests for Deterministic Parametric Structural Change in Regression Models

Kapetanios, George - School of Economics and Finance, Queen Mary - 2005

The problem of structural change justifiably attracts considerable attention in econometrics. A number of different paradigms have been adopted ranging from structural breaks which are sudden and rare to time-varying coefficient models which exhibit structural change more frequently and...

Persistent link: https://www.econbiz.de/10005106398

The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks in the G-7

Artis, Michael J; Osborn, Denise; Perez-Vazquez, Pedro - C.E.P.R. Discussion Papers - 2004

This Paper examines the changing relationships between the G7 countries through VAR models for the quarterly growth rates, estimated both over sub-periods and using a rolling data window. Six trivariate models are estimated, all of which include the US and a European (E15) aggregate. In relative...

Persistent link: https://www.econbiz.de/10005666509

The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks

Perez, P J; Osborn, D R; Artis, M - School of Economics, University of Manchester - 2003

This paper examines the changing relationships between the G-7 countries through VAR models for the quarterly growth rates, estimated both over sub-periods and using a rolling data window. Six trivariate models are estimated, all of which include the US and a European (E15) aggregate. In...

Persistent link: https://www.econbiz.de/10005341882

Is the Correlation in International Equity Returns Constant: 1960-90?

Longin, Francois; Solnik, Bruno - European Science Foundation Network in Financial … - 1993

We study the correlation of monthly excess returns for seven major countries over the period 1960-1990. We find that the international covariance and correlation matrices are unstable over time. A multivariate GARCH(1,1) modelling with constant conditional correlation helps capture some of the...

Persistent link: https://www.econbiz.de/10005656106