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Castelnuovo, Efrem; Tuzcuoglu, Kerem; Uzeda, Luis - 2022

We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial production series for the US economy. Our results...

Persistent link: https://www.econbiz.de/10013419275

Risk matters : a comment

Born, Benjamin; Pfeifer, Johannes - 2014

rate risk shock increases by 63 percent and the contribution of interest rate risk shocks to business cycle volatility more …

Persistent link: https://www.econbiz.de/10010354846

Jump processes in natural gas markets

Mason, Charles F.; Wilmot, Neil - 2014

Natural gas is likely to become increasingly important in the future. Understanding the stochastic underpinnings of natural gas prices will be critical, both to policy analysts and to market participants. To this end, we investigate the potential presence of jumps in natural gas spot prices in...

Persistent link: https://www.econbiz.de/10010235818

A non-linear forecast combination procedure for binary outcomes

Lahiri, Kajal; Yang, Liu - 2015

We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating...

Persistent link: https://www.econbiz.de/10010475341

Learning, structural instability and present value calculations

Pesaran, M. Hashem (contributor); … - 2006

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

Persistent link: https://www.econbiz.de/10003300967

Asymmetric connectedness on the US stock market : bad and good volatility spillovers

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

Persistent link: https://www.econbiz.de/10010509638

Dissecting characteristics nonparametrically

Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2018 - This version: July 2018

We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10011888693

Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2014

) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …

Persistent link: https://www.econbiz.de/10010249640

Long memory and data frequency in financial markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017

. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …

Persistent link: https://www.econbiz.de/10011619676

What moves the European carbon market? : insights from conditional jump models

Gronwald, Marc; Ketterer, Janina - 2012

This paper is concerned with carbon price volatility and the underlying causes of large price movements in the European …

Persistent link: https://www.econbiz.de/10009533967