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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram (contributor); … - 2007

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …

Persistent link: https://www.econbiz.de/10003586562

Exchange rate volatility and employment growth : empirical evidence from the CEE economies

Belke, Ansgar (contributor); Setzer, Ralph (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001937672

Exchange rate volatility effects on the German labour market : a survey of recent results and extensions

Buscher, Herbert S.; Mueller, Claudia - 1999

In this paper, a survey on theoretically expected and empirically proved impacts of exchange rate volatility is given …. With regard to the West German unemployment, the effects of volatility are empirically analysed using three different … volatility measures and four country groups. In autoregressive models, a significant disturbing impact of volatility can be found …

Persistent link: https://www.econbiz.de/10011294706

Stochastic complementarity

Manzini, Paola; Mariotti, Marco; Ülkü, Levent - 2018

The Hicksian definition of complementarity and substitutability may not apply in contexts in which agents are not utility maximisers or where price or income variations, whether implicit or explicit, are not available. We look for tools to identify complementarity and substitutability satisfying...

Persistent link: https://www.econbiz.de/10011795820

Trading while sleepy? : circadian mismatch and excess volatility in a global experimental asset market

Dickinson, David L.; Chaudhuri, Ananish; … - 2017

Traders in global markets operate at different local times-of-day. Suboptimal times-of-day may produce sleepiness due to daily variations in sleep/wake patterns and possibly also increased accumulation of hours awake. Global asset markets imply significantly increased heterogeneity in circadian...

Persistent link: https://www.econbiz.de/10011731909

Investigating the asymmetric impact of oil prices on GCC stock markets

Ben Cheikh, Nidhaleddine; Ben Naceur, Samy; Kanaan, … - 2020

This paper investigates the presence of asymmetric relationship between oil price movements and Gulf Cooperation Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression (VSTR) models which offer a greater flexibility when modelling the possible...

Persistent link: https://www.econbiz.de/10012314956

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

correlation is found between a twelve-month moving average p-values of the test and the returns of long/short equity strategies …

Persistent link: https://www.econbiz.de/10009535779

Give me your wired and your highly skilled : measuring the impact of immigration policy on employers and shareholders

Lin, Carl - 2011

The paper links finance theory to labor economics and political economy in the context of migration and immigration policy. Most research treating the impact of immigration has focused on the consequences for employees as measured by wages, earnings, and employment. Less is known about the...

Persistent link: https://www.econbiz.de/10009308050

An analysis of sibling correlations in health using latent variable models

Halliday, Timothy; Mazumder, Bhashkar - 2014

principal component across all outcomes, we obtain a sibling correlation of about 53%. These estimates, which are larger than …

Persistent link: https://www.econbiz.de/10010441719

Efficient probit estimation with partially missing covariates

Conniffe, Denis; O'Neill, Donal - 2009

A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...

Persistent link: https://www.econbiz.de/10003829113