Similar Search Results - EconBiz

Cross sectional aggregation and persistence in conditional variance

Karanasos, Menelaos; Psaradakis, Zacharias G.; Sola, Martin - 2000

Persistent link: https://www.econbiz.de/10001488560

Money velocity with interest rate stochastic volatility and exact aggregation

Barnett, William A.; Xu, Haiyang - 1995

Persistent link: https://www.econbiz.de/10000933224

Temporal aggregation of volatility models

Meddahi, Nour; Renault, Eric - In: Journal of econometrics 119 (2004) 2, pp. 355-379

Persistent link: https://www.econbiz.de/10001956326

Volatility, Growth and Aggregation

Imbs, Jean M. - 2003

I revisit the relationship between growth and volatility in two different disaggregated data sets. I confirm that growth and volatility are negatively related across countries, but show that across sectors, the relation is the opposite. This phenomenon, sometimes called "Simpson's fallacy", has...

Persistent link: https://www.econbiz.de/10014111225

Is Aggregate Volatility a Priced Risk Factor?

Peterburgsky, Stanley - 2016

. Alphas from time-series regressions of excess returns on the high-minus-low sensitivity to aggregate volatility portfolio …

Persistent link: https://www.econbiz.de/10012979789

The role of granularity in the variance and tail probability of aggregate output

Arata, Yoshiyuki - 2020 - Revised: December 2021

Persistent link: https://www.econbiz.de/10014366730

Businesses risks aggregation with Copula

Kamdem, J. Sadefo - In: Journal of quantitative economics : official journal of … 9 (2011) 2, pp. 58-72

Persistent link: https://www.econbiz.de/10010337911

The network origins of aggregate fluctuations

Acemoglu, Daron; Carvalho, Vasco M.; Ozdaglar, Asuman E.; … - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 5, pp. 1977-2016

Persistent link: https://www.econbiz.de/10009665479

Money velocity with interest rate stochastic volatility and exact aggregation

Barnett, William A.; Xu, Haiyang - 2012

Persistent link: https://www.econbiz.de/10009732504

Aggregation and memory of models of changing volatility

Zaffaroni, Paolo - In: Journal of econometrics 136 (2007) 1, pp. 237-249

Persistent link: https://www.econbiz.de/10003401656

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