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European trade & growth imbalances : a analysis using a sign-restriction BayesianGVAR with stochastic volatility

McAdam, Peter; Muratidēs, Kōstas; Panagiōtidēs, … - 2023

Persistent link: https://www.econbiz.de/10014313012

The euro and monetary policy transparency

Caporale, Guglielmo Maria; Cipollini, Andrea - In: Eastern economic journal 28 (2002) 1, pp. 59-70

Persistent link: https://www.econbiz.de/10001671019

A stochastic variance factor model for large datasets and an application to S&P data

Cipollini, Andrea (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001920657

A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data

Kapetanios, George - 2009

The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We suggest the use of the principal component methodology of Stock and Watson [Stock, J.H., Watson, M.W., 2002. Macroeconomic forecasting using diffusion indices. Journal of Business...

Persistent link: https://www.econbiz.de/10013159687

Stock returns and exchange rate volatility spillovers in the MENA region

Eissa, Mohamed Abdelaziz; Chortareas, Georgios E.; … - In: Journal of emerging market finance 9 (2010) 3, pp. 257-284

Persistent link: https://www.econbiz.de/10009156615

Switching to floating exchange rates, devaluations, and stock returns in MENA countries

Chortareas, Georgios E.; Cipollini, Andrea; Eissa, … - In: International review of financial analysis 21 (2012), pp. 119-127

Persistent link: https://www.econbiz.de/10009633319

A stochastic variance factor model for large datasets and an application to S&P data

Cipollini, Andrea; Kapetanios, George - In: Economics letters 100 (2008) 1, pp. 130-134

Persistent link: https://www.econbiz.de/10003747500

Volatility co-movements : a time-scale decomposition analysis

Cipollini, Andrea; Lo Cascio, Iolanda; Muzzioli, Silvia - In: Journal of empirical finance 34 (2015), pp. 34-44

Persistent link: https://www.econbiz.de/10011556988

Asymmetric semi-volatility spillover effects in EMU stock markets

Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230

Persistent link: https://www.econbiz.de/10012006352

Uncertainty, expectations, and fundamentals : whatever happened to long-term oil prices?

Fattouh, Bassam; Scaramozzino, Pasquale - In: Oxford review of economic policy 27 (2011) 1, pp. 186-206

Persistent link: https://www.econbiz.de/10009356158