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correlation. …
Persistent link: https://www.econbiz.de/10010276410
We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation,...
Persistent link: https://www.econbiz.de/10011506640
Recent studies suggest that the correlation of stock returns increases with decreasing geographical distance. However …, there is some debate on the appropriate methodology for measuring the effects of distance on correlation. We modify a … regression approach suggested in the literature and complement it with an approach from spatial statistics, the mark correlation …
Persistent link: https://www.econbiz.de/10010263768
diversified mixed asset portfolios via different hedge tools. Several hedging strategies, using currency forwards and currency …
Persistent link: https://www.econbiz.de/10010316299
located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We compare these …
Persistent link: https://www.econbiz.de/10011604475
Persistent link: https://www.econbiz.de/10014306504
Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...
Persistent link: https://www.econbiz.de/10014480485
The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an...
Persistent link: https://www.econbiz.de/10010263757
This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …
Persistent link: https://www.econbiz.de/10011506652
The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The … correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to … we apply the maximum likelihood method to estimate the best correlation parameter. The method is applied and analyzed on …
Persistent link: https://www.econbiz.de/10010322333