Showing 1 - 10 of 131
The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that...
Persistent link: https://www.econbiz.de/10010318768
Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between assets and thus measures the degree of portfolio diversification. It can be estimated both under the physical measure from return series, and under the risk neutral measure from...
Persistent link: https://www.econbiz.de/10010318771
The present paper analyses interactions between the foreign exchange, money and stock markets in Asian Pacific countries from 1999 till 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using structural residuals. This...
Persistent link: https://www.econbiz.de/10010263673
The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using...
Persistent link: https://www.econbiz.de/10010263681
Information flows across international financial markets typically occur within hours, making volatility spillover appear contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in this paper, in contrast to usually...
Persistent link: https://www.econbiz.de/10010263740
This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between in-sample and out-of-sample pseudolikelihoods, which avoids the use of any probability integral transformations. Under the...
Persistent link: https://www.econbiz.de/10010331132
Microfoundations of the euro´s effect on euro area trade hinge on the timing, thespeed and the size of adjustment in trade costs. We estimate timing, speed and sizeof adjustment in trade costs for sectoral trade data. Our approach allows for sectorspecific impacts of trade costs on sectoral...
Persistent link: https://www.econbiz.de/10005862427
The paper proposes a data driven adaptive model selection strategy. The selection criterionmeasures economic ex-ante forecasting content by means of trading implied cash flows.Empirical evidence suggests that the proposed strategy is neither exposed to selection biasnor to the risk of choosing...
Persistent link: https://www.econbiz.de/10005862428
We analyze the impact of short-run economic fluctuations on age-specific mortality usingBayesian time series econometrics and contribute to the debate on the procyclicality ofmortality. For the first time, we examine the differing consequences of economic changesfor all individual age classes....
Persistent link: https://www.econbiz.de/10005862544
This article provides a comprehensive econometric analysis of factors driving aggregatemortality rates over time. It differs from previous studies in this field by simultaneouslyconsidering an extensive set of macroeconomic, socio-economic and ecological factors asexplanatory variables. Germany...
Persistent link: https://www.econbiz.de/10005862604