Search Results - subject:"Variance Decomposition"

A variance decomposition of index-linked bond returns

Breedon, Francis - In: Economics Letters 116 (2012) 1, pp. 49-51

We undertake a variance decomposition of index-linked bond returns for the US, the UK and Iceland. In all cases, news …

Persistent link: https://www.econbiz.de/10010572251

Volatility spillovers between the Chinese and world equity markets

Zhou, Xiangyi; Zhang, Weijin; Zhang, Jie - In: Pacific-Basin Finance Journal 20 (2012) 2, pp. 247-270

We propose measures of the directional volatility spillovers between the Chinese and world equity markets based on Diebold and Yilmaz's (2011b) forecast-error variance decompositions in a generalized vector autoregressive framework. It was found that the US market had dominant volatility impacts...

Persistent link: https://www.econbiz.de/10010572484

Price discovery in Indian commodity futures market: an empirical exercise

Dey, Kushankur; Maitra, Debasish - In: International Journal of Trade and Global Markets 5 (2012) 1, pp. 68-87

-integration, error correction with weak exogeneity, and forecast error variance decomposition. This paper sheds some light on existing …

Persistent link: https://www.econbiz.de/10010670342

A variance decomposition of index-linked bond returns

Breedon, Francis J. - 2012

We undertake a variance decomposition of index-linked bond returns for the US, UK and Iceland. In all cases, news about …

Persistent link: https://www.econbiz.de/10009427074

On the dynamics of energy consumption, CO 2 emissions and economic growth : evidence from India

Tiwari, Aviral Kumar - In: Indian economic review : biannual journal of the Delhi … 47 (2012) 1, pp. 57-87

Persistent link: https://www.econbiz.de/10010255765

Exchange return co-movements and volatility spillovers before and after the introduction of euro

Antonakakis, Nikolaos - In: Journal of international financial markets, … 22 (2012) 5, pp. 1091-1109

Persistent link: https://www.econbiz.de/10010220182

VECM estimations of the PPP reversion rate revisited : the conventional role of relative price adjustment restored

Kim, Hyeongwoo - In: Journal of macroeconomics 34 (2012) 1, pp. 223-238

Persistent link: https://www.econbiz.de/10009624449

Do investors value REITs and non-REITs differently?

Wei, Peihwang; Yang, Xiaolou - In: International review of economics & finance : IREF 24 (2012), pp. 295-302

Persistent link: https://www.econbiz.de/10009690162

Short and long-term interactions between venture capital returns and the macroeconomy : evidence for the United States

Füss, Roland; Schweizer, Denis - In: Review of quantitative finance and accounting 38 (2012) 3, pp. 391-410

Persistent link: https://www.econbiz.de/10009532181

Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model

Milunovich, George - Econometric Society - 2004

A new model is developed that augments a structural VAR specification with a GARCH covariance matrix. The model is utilised to study time series dependencies between three size-sorted portfolios from the Australian Stock Exchange. Even after accounting for contemporaneous correlations the...

Persistent link: https://www.econbiz.de/10005063659