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Are global systematic risk and country-specific idiosyncratic risk priced in the integrated world markets
Hueng, C. James - In: International review of economics & finance : IREF 33 (2014), pp. 28-38
Persistent link: https://www.econbiz.de/10010531290
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Using the aggregate demand-aggregate supply model to identify structural demand-side and supply-side shocks : results using a bivariate VAR
Cover, James Peery; Enders, Walter; Hueng, C. James - In: Journal of money, credit and banking : JMCB 38 (2006) 3, pp. 777-790
Persistent link: https://www.econbiz.de/10003328455
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Illiquidity contagion and pricing of commonality risk : evidence from a dynamic conditional correlation model
Beyene, Nardos; Huang, Peng; Hueng, C. James - In: Finance research letters 39 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012805167
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The Correlation between Shocks to Output and the Price Level : Evidence from a Multivariate GARCH Model
Cover, James Peery; Hueng, C. James - 2002
Previous research indicates that the price-output correlation is time varying. This paper therefore estimates a VAR with a bivariate GARCH error process to obtain a time series of quarterly estimates of the price-output correlation for the United States for the period 1876:4-1999:4. The...
Persistent link: https://www.econbiz.de/10014125768
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Why Did the Sign of the Price-Output Correlation Change? Evidence from a Structural VAR with GARCH Errors
Cover, James Peery; Hueng, C. James - 2005
It is generally agreed that the price-output correlation in the United States was positive prior to the Second World War, but became negative during the postwar period (at least by 1972). This paper offers evidence that the price-output correlation changed signs because of a decrease in the...
Persistent link: https://www.econbiz.de/10014063149