Results 11 to 20 of about 92,559 (42)

Optimal Inference for Spot Regressions

Social Science Research Network
Betas from return regressions are commonly used to measure systematic financial market risks. “Good” beta measurements are essential for a range of empirical inquiries in finance and macroeconomics.
Tim Bollerslev, Jia Li, Yuexuan Ren
semanticscholar   +1 more source

The Normalized CES Production Function: Theory and Empirics

Social Science Research Network, 2011
The elasticity of substitution between capital and labor and, in turn, the direction of technical change are critical parameters in many fields of economics.
R. Klump, Peter Mcadam, Alpo Willman
semanticscholar   +1 more source

Robust testing for explosive behavior with strongly dependent errors

Journal of Econometrics
A heteroskedasticity-autocorrelation robust (HAR) test statistic is proposed to test for the presence of explosive roots in financial or real asset prices when the equation errors are strongly dependent.
Y. Lui, Peter C. B. Phillips, Jun Yu
semanticscholar   +1 more source

Value at Risk Models in Finance

Social Science Research Network, 2001
The main objective of this paper is to survey and evaluate the performance of the most popular univariate VaR methodologies, paying particular attention to their underlying assumptions and to their logical flaws.
Robert F. Engle, S. Manganelli
semanticscholar   +1 more source

Fan Charts 2.0: Flexible Forecast Distributions with Expert Judgement

Social Science Research Network
I propose a new model, conditional quantile regression (CQR), that generates density forecasts consistent with a specific view of the future evolution of some variables.
A. Sokol
semanticscholar   +1 more source

House Prices and Monetary Policy in the Euro Area: Evidence from Structural VARs

Social Science Research Network, 2017
We use a Bayesian stochastic search variable selection structural VAR model to investigate the heterogeneous impact of housing demand shocks on the macroeconomy and the role of house prices in the monetary policy transmission, across euro area countries.
A. Nocera, M. Roma
semanticscholar   +1 more source

What Explains the Spread Between the Euro Overnight Rate and the ECB's Policy Rate?

Social Science Research Network, 2011
We employ a time series econometric framework to explore the structural determinants of the spread between the European Overnight Rate and the ECB’s Policy Rate (EONIA spread) aiming to explain the widening of the EONIA spread from mid-2004 to mid-2006 ...
Tobias Linzert, S. Schmidt
semanticscholar   +1 more source

The relationship between energy consumption, energy prices and economic growth: time series evidence from Asian developing countries

, 2000
J. Asafu-Adjaye
semanticscholar   +1 more source

Trade Openness and Economic Growth Nexus: A Case Study of BRICS

, 2019
L. G. Burange, Rucha R. Ranadive, Neha N. Karnik   +2 more
semanticscholar   +1 more source

Estimating Stochastic Volatility Diiusion Using Conditional Moments of Integrated Volatility

, 2000
Tim Bollerslev, Hao Zhou
semanticscholar   +1 more source