Narrow search
Showing 1 - 10 of 6,689
Cover Image
On the Macroeconomic Determinants of Long-Term Volatilities and Correlations in U.S. Stock and Crude Oil Markets
Conrad, Christian - 2014
Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors of changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …
Persistent link: https://www.econbiz.de/10013066427
Cover Image
COVID-19 Impact on Cryptocurrencies : Evidence from a Wavelet-Based Hurst Exponent
Arouxet, M. Belén - 2020
returns was only mildly affected. However, volatility suffered a temporary impact in its long range correlation structure. Our …
Persistent link: https://www.econbiz.de/10012823248
Cover Image
Effect of the U.S.–China Trade War on Stock Markets : A Financial Contagion Perspective
Oh, Minseog; Kim, Donggyu - 2022
In this paper, we investigate the effect of the U.S.--China trade war on stock markets from a financial contagion perspective, based on high-frequency financial data. Specifically, to account for risk contagion between the U.S. and China stock markets, we develop a novel jump-diffusion process....
Persistent link: https://www.econbiz.de/10013307247
Cover Image
Are Difference-in-Differences Estimates Blowing Smoke? A Cautionary Tale From an Oft-Used Natural Experiment
Zdrojewski, Anthony; Butler, Alexander W. - 2021
We illustrate the sensitivity of two-way fixed effects difference-indifferences estimates to innocuous changes in data structure. Using the staggered rollout of state-level bank branching deregulations, three outcome variables are brought to bear on the interventions: personal income growth (a...
Persistent link: https://www.econbiz.de/10013220679
Cover Image
Inference on causal effects in a generalized Regression Kink Design
Card, David E.; Lee, David S.; Pei, Zhuan; Weber, Andrea - 2015
We consider nonparametric identification and estimation in a nonseparable model where a continuous regressor of … endogenous assignment variable (like previous earnings). We provide new results on identification and estimation for these …
Persistent link: https://www.econbiz.de/10010467807
Cover Image
Inference on causal effects in a generalized Regression Kink Design
Card, David E.; Lee, David S.; Pei, Zhuan; Weber, Andrea - 2015
We consider nonparametric identification and estimation in a nonseparable model where a continuous regressor of … endogenous assignment variable (like previous earnings). We provide new results on identification and estimation for these …
Persistent link: https://www.econbiz.de/10010472511
Cover Image
Model averaging in semiparametric estimation of treatment effects
Kitagawa, Toru; Muris, Chris - 2015
propensity score weighting estimation of the average treatment effects for treated (ATT). The proposed averaging procedures aim …
Persistent link: https://www.econbiz.de/10011309717
Cover Image
Outliers in semi-parametric estimation of treatment effects
Ontiveros, Darwin Ugarte; Canavire-Bacarreza, Gustavo; … - 2017
Average treatment effects estimands can present significant bias under the presence of outliers. Moreover, outliers can be particularly hard to detect, creating bias and inconsistency in the semi-parametric ATE estimads. In this paper, we use Monte Carlo simulations to demonstrate that...
Persistent link: https://www.econbiz.de/10011778870
Cover Image
Nonlinear policy rules and the identification and estimation of causal effects in a generalized Regression Kink Design
Card, David E.; Lee, David S.; Pei, Zhuan; Weber, Andrea - 2012
We consider nonparametric identification and estimation in a nonseparable model where a continuous regressor of … endogenous assignment variable (like previous earnings). We provide new results on identification and estimation for these …
Persistent link: https://www.econbiz.de/10011345869
Cover Image
Inference on Causal Effects in a Generalized Regression Kink Design
Card, David E. - 2015
We consider nonparametric identification and estimation in a nonseparable model where a continuous regressor of … endogenous assignment variable (like previous earnings). We provide new results on identification and estimation for these …
Persistent link: https://www.econbiz.de/10013029646