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A structural approach to identify financial transmission in distinguished scenarios of crises

Herwartz, Helmut; Roestel, Jan - 2018

, real estate, banking and treasury - between 1/3/2000 and 12/26/2014. For this purpose, we develop an identification method …

Persistent link: https://www.econbiz.de/10011903210

Experience and worker flows

Gorry, Aspen - In: Quantitative economics : QE ; journal of the … 7 (2016) 1, pp. 225-255

This paper studies the role of worker learning in a labor market where workers have incomplete information about the quality of their employment match. The amount of information about the quality of a new match depends on a worker’s past job experience. Allowing workers to learn from...

Persistent link: https://www.econbiz.de/10011798979

Mean Volatility Regressions

Lu, Lin - 2017

further investigate the asymptotic behaviors of estimation by using sophisticated non-parametric smoothing. Monte Carlo …

Persistent link: https://www.econbiz.de/10012966288

Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression

Baruník, Jozef - 2013

estimation. For the realized volatility, we use recently proposed methods which are robust to noise as well as jumps and … estimation of fractional cointegrating relation between implied and realized volatility based on wavelets, a wavelet band least … estimation, we use the S&P 500 and DAX monthly and bi-weekly option prices covering the recent financial crisis and we conclude …

Persistent link: https://www.econbiz.de/10013090381

Revisiting the long memory dynamics of implied-realized volatility relation : a new evidence from wavelet band spectrum regression

Barunik, Jozef; Barunikova, Michaela - 2015

model-free option-implied volatility (MFIV) when assessing the relation as the latter may introduce bias to the estimation …. In addition, a new tool for the estimation of fractional co-integrating relation between implied and realized volatility … different investment horizons. In the estimation, we use the S&P 500 and DAX monthly and biweekly option prices covering the …

Persistent link: https://www.econbiz.de/10011280711

Reducing the bias of the smoothed log periodogram regression for financial high-frequency data

Reschenhofer, Erhard; Mangat, Manveer Kaur - In: Econometrics : open access journal 8 (2020) 4/40, pp. 1-16

conventional estimation methods. In this study, the new method outperforms its unsmoothed competitors with respect to the variance …

Persistent link: https://www.econbiz.de/10012312096

Idiosyncratic Risk and Stock Returns : A Quantile Regression Approach

Aziz, Tariq - 2016

The relation between idiosyncratic risk and stock returns is currently a topic of debate in the academic literature. So far the evidence regarding the relation is mixed. This study aims to investigate the cross-sectional relation between idiosyncratic risk and stock returns in the Indian stock...

Persistent link: https://www.econbiz.de/10012996902

High-Frequency Factor Models and Regressions

Aït-Sahalia, Yacine - 2019

We consider a nonparametric time series regression model. Our framework allows precise estimation of betas without the …

Persistent link: https://www.econbiz.de/10012894411

Using time-varying volatility for identification in vector autoregressions : an application to endogenous uncertainty

Marcellino, Massimiliano; Carriero, Andrea; Clark, Todd E. - 2021

Persistent link: https://www.econbiz.de/10012589508

Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of econometrics 225 (2021) 1, pp. 47-73

Persistent link: https://www.econbiz.de/10013278994