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Manganelli, Simone - 2010

We study how financial market efficiency affects a measure of diversification of output across industrial sectors … and for various levels of disaggregation, we construct a benchmark measure of diversification as the set of allocations of … patterns disappear when we employ "naive" measures of diversification based on the equal spreading of output across sectors …

Persistent link: https://www.econbiz.de/10013136834

The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios

Craig, Ben R. - 2020

Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …

Persistent link: https://www.econbiz.de/10012838336

The perils of aggregating foreign variables in panel data models

Ca' Zorzi, Michele; Chudik, Alexander; Dieppe, Alistair - 2012

The curse of dimensionality refers to the difficulty of including all relevant variables in empirical applications due to the lack of sufficient degrees of freedom. A common solution to alleviate the problem in the context of open economy models is to aggregate foreign variables by constructing...

Persistent link: https://www.econbiz.de/10011605489

The Perils of Aggregating Foreign Variables in Panel Data Models

Ca'Zorzi, Michele - 2015

Persistent link: https://www.econbiz.de/10013036825

Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model

Delle Monache, Davide - 2020

In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

Persistent link: https://www.econbiz.de/10012842441

Burned by Leverage? Flows and Fragility in Bond Mutual Funds

Molestina Vivar, Luis - 2020

Does leverage drive investor flows in bond mutual funds? Leverage can increase fund returns in good times, but it can also magnify investors' losses and their response to bad performance. We study bond fund flows to provide new evidence for the link between mutual fund leverage and financial...

Persistent link: https://www.econbiz.de/10012833579

Stock Return Comovement When Investors are Distracted : More, and More Homogeneous

Ehrmann, Michael - 2020

This paper tests whether fluctuations in investors' attention affect stock return comovement with national and global markets, and which stocks are most affected. We measure fluctuations in investor attention using 59 high-profile soccer matches played during stock market trading hours at the...

Persistent link: https://www.econbiz.de/10012833580

A quasi maximum likelihood approach for large approximate dynamic factor models

Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - 2006

This paper considers quasi-maximum likelihood estimations of a dynamic approximate factor model when the panel of time series is large. Maximum likelihood is analyzed under different sources of misspecification: omitted serial correlation of the observations and cross-sectional correlation of...

Persistent link: https://www.econbiz.de/10011604720

Spillovers in space and time: Where spatial econometrics and Global VAR models meet

Elhorst, Jean Paul; Tereanu, Eugen; Gross, Marco - 2018

We bring together the spatial and global vector autoregressive (GVAR) classes of econometric models by providing a detailed methodological review of where they meet in terms of structure, interpretation, and estimation methods. We discuss the structure of cross-section connectivity (weight)...

Persistent link: https://www.econbiz.de/10011853322

Infinite-dimensional VARs and factor models

Chudik, Alexander; Pesaran, Hashem - 2009

This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...

Persistent link: https://www.econbiz.de/10011605044