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Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution
Pesaran, Bahram; Pesaran, M. Hashem - 2021
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …
Persistent link: https://www.econbiz.de/10013316934
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Misspecification Testing in a Class of Conditional Distributional Models
Rothe, Christoph - 2012
We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...
Persistent link: https://www.econbiz.de/10013110184
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Exponent of Cross-Sectional Dependence : Estimation and Inference
Bailey, Natalia - 2012
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10013110862
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A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables
Keane, Michael P. - 2009
This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …
Persistent link: https://www.econbiz.de/10012764470
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Empirical Monte Carlo Evidence on Estimation of Timing-of-Events Models
Lombardi, Stefano; Berg, Gerard J. van den; Vikström, Johan - 2021
This paper builds on the Empirical Monte Carlo simulation approach developed by Huber et al. (2013) to study the … estimation of Timing-of-Events (ToE) models. We exploit rich Swedish data of unemployed job-seekers with information on …
Persistent link: https://www.econbiz.de/10013251542
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The Variability and Volatility of Sleep : An Archetypal Approach
Hamermesh, Daniel S.; Pfann, Gerard A. - 2022
individuals' sleep time exhibits both variability and volatility characterized by stationary autoregressive conditional … young children at home. Volatility is greater among parents with young children, slightly greater among men than women, but … rates. Volatility in sleep spills over onto volatility in other personal activities, with no reverse causation onto sleep …
Persistent link: https://www.econbiz.de/10014083924
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From Riches to Rags, and Back? Institutional Change, Financial Development and Economic Growth in Argentina Since the 1890s
Campos, Nauro - 2014
individual effects on economic growth and volatility using the power-ARCH framework with annual data since the 1890s. The results …
Persistent link: https://www.econbiz.de/10013042993
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Investigating the Asymmetric Impact of Oil Prices on GCC Stock Markets
Ben Cheikh, Nidhaleddine; Ben Naceur, Samy; Kanaan, … - 2021
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/10013314986
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The Econometrics of Antidotal Variables
Das, Tirthatanmoy; Polachek, Solomon W. - 2022
Some interventions or population attributes negate the effects of a treatment. This paper shows that incorporating these, what we call antidotal variables (AV), into a causal treatment effects analysis can with one cross-sectional regression identify the true causal effect, in addition to...
Persistent link: https://www.econbiz.de/10014076718
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Immigration, Growth and Unemployment : Panel VAR Evidence from OECD Countries
Boubtane, Ekrame - 2012
This paper examines empirically the interaction between immigration and host country economic conditions. We employ panel VAR techniques to use a large annual dataset on 22 OECD countries over the period 1987-2009. The VAR approach allows to addresses the endogeneity problem by allowing the...
Persistent link: https://www.econbiz.de/10013098455