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Factor Analysis with Large Panels of Volatility Proxies
Ghysels, Eric - 2014
the idiosyncratic errors of the panel. A remarkable result emerges. Under suitable regularity conditions the traditional …-sectional driven criteria suffice for consistent estimation of the number of factors, which is different from the traditional panel … data results. Finally, we also show that the panel data estimates improve upon the individual volatility estimates …
Persistent link: https://www.econbiz.de/10013056633
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The relation between overreaction in forecasts and uncertainty : a nonlinear approach
Leppin, Julian Sebastian - 2014 - This version: November 2014
account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression …
Persistent link: https://www.econbiz.de/10010438928
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Predicting multi-scale positive and negative stock market bubbles in a panel of G7 countries : the role of oil price uncertainty
Van Eyden, Reneé; Gupta, Rangan; Sheng, Xin; Nielsen, … - In: Economies : open access journal 13 (2025) 2, pp. 1-25
dynamic heterogeneous coefficients panel databased regressions to analyze the predictive impact of a model-free robust metric …
Persistent link: https://www.econbiz.de/10015210403
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Comovements and structural factors of macroeconomic volatility in developing and transition economies : a dynamic panel data approach
Ouechtati, Ichraf; Zaouali, Amira - 2013
volatility in developing and transition economies, using dynamic panel technique. According to an analysis of variance and …
Persistent link: https://www.econbiz.de/10009788587
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Evaluating factor pricing models using high-frequency panels
Chang, Yoosoon; Choi, Yongok; Kim, Hwagyun; Park, Joon Y. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 889-933
This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...
Persistent link: https://www.econbiz.de/10011800879
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The impact of exchange rate uncertainty on exports : a panel VAR analysis
Muinelo-Gallo, Leonel; Lescano, Ronald Miranda; … - In: Estudios de economía 47 (2020) 2, pp. 157-192
In this paper we analyze the impact of exchange rate uncertainty on export flows among a panel of 27 countries … throughout the 1994/01-2014/12 period. In order to do this, we apply a panel vector autoregressive model approach. By dividing … the panel into two subgroups that involve manufacturing-exporting and commodity-exporting economies, we observe a …
Persistent link: https://www.econbiz.de/10012405919
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Short Term Interest Rates Have a Negative Impact on Stock Returns; A Panel Data Analysis for Many European Economies
Georgiou, Miltiades N. - 2009
In the present paper the negative impact of interest rates on stock returns will be estimated for the European economies. Data are monthly during the year 2008 and cover the following countries: Belgium, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain. The elaboration of...
Persistent link: https://www.econbiz.de/10013156055
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The Impact of Social Capital on Consumption Insurance and Income Volatility in U.K : Evidence from British Household Panel Survey
Pericoli, Filippo Maria - 2013
On BHPS data we measure various indices of social capital at the individual and household level, and use them as explanatory variables in standard consumption insurance tests. We find that two out of three aspects of social capital positively impact on consumption smoothing, by reducing the...
Persistent link: https://www.econbiz.de/10013087263
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The Impact of Exchange Rate Uncertainty on Exports : A Panel VAR Analysis
Muinelo-Gallo, Leonel; Miranda Lescano, Ronald; … - 2021
In this paper we analyze the impact of exchange rate uncertainty on export flows among a panel of 27 countries … throughout the 1994/01-2014/12 period. In order to do this, we apply a panel vector autoregressive model approach. By dividing … the panel into two subgroups that involve manufacturing-exporting and commodity-exporting economies, we observe a …
Persistent link: https://www.econbiz.de/10013251922
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The Effects of Exchange Rate Volatility on Korea's Automotive Industry Exports : A Panel Cointegration Analysis
Jung, Moon-hyun - 2017
Conditional Heteroscedasticity [GARCH(1,1)] model and the standard deviation approach. To this end, the panel cointegration … 2001 to December 2014. The panel dynamic ordinary least squares (DOLS) and the panel fully modified ordinary squares (FMOLS …
Persistent link: https://www.econbiz.de/10012957613