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Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov switching model

Casarin, Roberto; Foroni, Claudia; Marcellino, Massimiliano - 2016 - This version: October 31, 2016

Persistent link: https://www.econbiz.de/10011806012

ARCH Models for Multi-period Forecast Uncertainty: A Reality Check Using a Panel of Density Forecasts

Lahiri, Kajal; Liu, Fushang - In: Econometric analysis of financial and economic time series, (pp. 321-363). 2006

relatively small compared to that of the idiosyncratic shocks. Due to grouping error problems and compositional heterogeneity in … the panel, individual densities are used to estimate aggregate forecast uncertainty. During periods of regime change and …

Persistent link: https://www.econbiz.de/10015385513

Do natural disasters increase financial risks? : an empirical analysis

Chang, Chun Ping; Zhang, Wan-Li - In: Bulletin of monetary economics and banking 23 (2020), pp. 61-86

Persistent link: https://www.econbiz.de/10012423145

Are stock prices related to the political uncertainty index in OECD countries? : evidence from the bootstrap panel causality test

Chang, Tsangyao; Chen, Wen-Yi; Gupta, Rangan; Nguyen, … - In: Economic systems 39 (2015) 2, pp. 288-300

Persistent link: https://www.econbiz.de/10011527538

Do the carry trades respond to geopolitical risks? : evidence from BRICS countries

Cepni, Oguzhan; Emirmahmutoglu, Furkan; Güney, Ethem; … - In: Economic systems 47 (2023) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10014317399

What drives tail risk in aggregate European equity markets?

Kinateder, Harald - In: Journal of risk finance : the convergence of financial … 16 (2015) 4, pp. 395-406

Persistent link: https://www.econbiz.de/10011418210

Stock market uncertainty and interest rate behaviour : a panel GARCH approach

Valera, Harold Glenn A.; Holmes, Mark J.; Hassan, Gazi M. - In: Applied economics letters 24 (2017) 10/12, pp. 732-735

Persistent link: https://www.econbiz.de/10011714175

Can migration fear and policy uncertainty be the source of macroeconomic fluctuations?

Ceylan, Fatih; Ünlü, Mustafa - In: Croatian economic survey 26 (2024) 1, pp. 5-36

Persistent link: https://www.econbiz.de/10015066191

Credit rating downgrade risk on equity returns

Brakatsoulas, Periklis; Kukacka, Jiri - 2020

across several estimation methods. Panel Granger causality test results indicate that there indeed is a Granger … for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US …

Persistent link: https://www.econbiz.de/10012242861

The impact of US uncertainty shocks on a panel of advanced and emerging market economies

Gupta, Rangan; Olasehinde-Williams, Godwin; Wohar, Mark E. - In: Journal of international trade & economic development : … 29 (2020) 6, pp. 711-721

Persistent link: https://www.econbiz.de/10012264106