Search Results - subject:"Variance decomposition"

Data Sparseness and Variance in Accounting Profitability

Stavropoulos, Spyridon; Burger, Martijn J.; Skuras, Dimitris - 2015

components. Although it is well established that data sparseness in variance decomposition studies can lead to overestimating … have examined the nature of differences in firm profitability. We conduct a meta-regression and variance decomposition … reliability of previo us variance decomposition studies and provide implications for current debates in the strategic management …

Persistent link: https://www.econbiz.de/10010491405

Measuring connectedness of Euro area sovereign risk

Gätjen, Rebekka; Schienle, Melanie - 2015

We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance … decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice …

Persistent link: https://www.econbiz.de/10011335462

Estimating global bank network connectedness

Demirer, Mert; Diebold, Francis X.; Liu, Laura; … - 2015

We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and dynamic network connectedness using rolling-window estimation. Statistically,...

Persistent link: https://www.econbiz.de/10011440136

How connected is the global sovereign credit risk network?

Bostancı, Görkem; Yılmaz, Kamil - 2015

We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the network structure of global sovereign credit risk. In particular, using the elastic net estimation method, we separately estimate networks of daily SCDS returns and volatilities...

Persistent link: https://www.econbiz.de/10011440137

Do markets cointegrate after financial crisis? Evidence from G-20 stock markets

Haque, Mahfuzul; Shamsub, Hannarong - In: International Journal of Financial Studies 3 (2015) 4, pp. 557-586

The results of the single-equation cointegration tests indicate that patterns of cointegration in the two main and four sub-periods are not homogeneous. Two key findings emerge from the study. First, fewer stock markets cointegrated with S&P 500 during the crisis period than they did during the...

Persistent link: https://www.econbiz.de/10011708997

Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis

Fernández-Rodríguez, Fernando; Gómez-Puig, Marta; … - Asociación Española de Economía y Finanzas … - 2015

This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order to monitor stress transmission and to identify episodes of intensive spillovers from one country to the others. To this end, we first perform a static and dynamic analysis to...

Persistent link: https://www.econbiz.de/10011160691

Volatility spillovers in EMU sovereign bond markets

Fernández-Rodríguez, Fernando; Gómez-Puig, Marta; … - Asociación Española de Economía y Finanzas … - 2015

We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional...

Persistent link: https://www.econbiz.de/10011169728

Data Sparseness and Variance in Accounting Profitability

Stavropoulos, Spyridon; Burger, Martijn J.; Skuras, Dimitris - Tinbergen Instituut - 2015

Persistent link: https://www.econbiz.de/10011257269

Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty and the Macroeconomy

Antonakakis, Nikolaos; Andre, Christophe; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

In this study we examine dynamic macroeconomic spillovers in the United States, with a particular focus on the stock market, housing and economic policy uncertainty (EPU). Based on monthly data over the period 1987M1 to 2014M11, our findings reveal the following features. First, the transmission...

Persistent link: https://www.econbiz.de/10011265896

Regional Dynamic Price Relationships between Distillers Dried Grains and Feed Grains

Johnson, Matthew; Yu, T. Edward; Griffith, Andrew P.; … - Southern Agricultural Economics Association - SAEA - 2015

Persistent link: https://www.econbiz.de/10011125407