Stock and bond are the two most crucial assets for portfolio allocation and risk management. This study proposes generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between stock returns and bond returns. A GAS MIDAS copula...

Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a...

No, not really. Responding to lingering concerns about the reliability of SVARs, Christiano et al (NBER Macro Annual, 2006, “CEV”) propose to combine OLS estimates of a VAR with a spectral estimate of long-run variance. In principle, thiscould help alleviate specification problems of SVARs in...

This paper is one of the limited studies to investigate rebound effects in sectoral electricity consumption and the specific case of New Zealand. New Zealand, like other OECD economies, has aimed for energy efficiency improvements and reduced electricity consumption from 9.2 MWh per capita in...

This paper investigates the merger wave hypothesis for the US and the UK employing a Markov regime switching model. Using quarterly data covering the last thirty years, for the US, we identify the beginning of a merger wave in the mid 1990s but not the much-discussed 1980s merger wave. We argue...

The recent price coupling of many European electricity markets has triggered a fundamental change in the interaction of day-ahead prices, challenging additionally the modeling of the joint behavior of prices in interconnected markets. In this paper we propose a regime-switching AR-GARCH copula...

The identification of the effects of climate shocks on economic growth is central to design effective policies aiming at managing the future global climate change challenge. In this study, we investigate the effects of temperature and precipitation shocks on economic growth across different...

We present a Bayesian structural Vector Autoregressive model of the global wheat market to examine the relative importance of supply and demand shocks, which are interpreted as the fundamental driving forces of wheat price. To our knowledge, this is the first SVAR analysis that jointly considers...

Since Russia's invasion of Ukraine, many countries have pledged to end or restrict their oil and gas imports to curtail Moscow's revenues and hinder its war effort. Thus, the European ministers agreed to trigger a cap on the gas price. To detect the importance of the price cap for gas, we...

In this paper, we address the issue of spurious correlation in the production of health in a systematic way. Spurious correlation entails the risk of linking health status to medical (and nonmedical) inputs when no links exist. This note first presents the bounds testing procedure as a method to...