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normal and Student t innovations, and decompose them into skewness and kurtosis components, from which we obtain more …We analyse the Generalised Hyperbolic distribution adequacy to model kurtosis and asymmetries in multivariate …
Persistent link: https://www.econbiz.de/10005124228
We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more general than the truncated Gram-Charlier expansions of Jondeau and Rockinger (2001), who impose parameter restrictions to ensure positivity....
Persistent link: https://www.econbiz.de/10005114173
The term now-casting is a contraction for now and forecasting and has been used for a long-time in meteorology and recently also in economics In this paper we survey recent developments on economic now-casting with special focus on those models that formalize key features of how market...
Persistent link: https://www.econbiz.de/10011084671
This paper examines the relationship between fiscal policy and the current account, drawing on a larger country sample than in previous studies and using panel regressions, vector auto-regressions, and an analysis of large fiscal and external adjustments. On average, a strengthening in the...
Persistent link: https://www.econbiz.de/10008468562
This paper describes how we constructed a real-time database for the euro area covering more than 200 series regularly published in the European Central Bank Monthly Bulletin, as made available ahead of publication to the Governing Council members before their first meeting of the month. We...
Persistent link: https://www.econbiz.de/10008468678
Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk .In this Paper, we evaluate whether systemic risk reduces substantially the gains from international diversification. First, in order to...
Persistent link: https://www.econbiz.de/10005504252
quantitatively consistent with documented empirical regularities on negative relationship between returns and skewness. Second, we …
Persistent link: https://www.econbiz.de/10011083236
present paper contributes to this literature by showing that skewness of individual firms’ return distributions has a … of skewness is linked to all three streams of literature devoted to explaining the Bowman paradox. …
Persistent link: https://www.econbiz.de/10005662014
by disclosing their own information first. These results have implications for conditional variance and skewness of stock …
Persistent link: https://www.econbiz.de/10005788970
Aggregate stock market returns display negative skewness. Firm-level stock returns display positive skewness. The large … skewness. I then show that cross-sectional heterogeneity in firm announcement events can lead to negative skewness in aggregate …
Persistent link: https://www.econbiz.de/10008553065