Results 1 to 10 of about 74,660 (31)

Factor Timing with Portfolio Characteristics

Social Science Research Network, 2023
In a factor timing context, academic research has focused on identifying a set of predictors that can explain the dynamics of factor portfolios. We propose an alternative approach for timing factor portfolio returns by exploiting the information from ...
Anastasios Kagkadis, Ingmar Nolte, Sandra Nolte (Lechner), Nikolaos Vasilas   +3 more
semanticscholar   +1 more source

Do Corporate Bond Shocks Affect Commercial Bank Lending?

IMF Working Papers, 2023
Understanding how corporate bond market disruptions are transmitted to the rest of the financial system is essential to gauge systemic financial risk and design policy responses.
M. Catalan
semanticscholar   +1 more source

Methods Matter: p-Hacking and Publication Bias in Causal Analysis in Economics: Reply

The American Economic Review, 2022
In Brodeur, Cook, and Heyes (2020) we present evidence that instrumental variable (and to a lesser extent difference-in-difference) articles are more p-hacked than randomized controlled trial and regression discontinuity design articles.
A. Brodeur, Nikolai Cook, A. Heyes
semanticscholar   +1 more source

Value-at-Risk Estimation Using an Interpolated Distribution of Financial Returns Series

Journal of Applied Finance & Banking, 2022
This paper develops a model for estimating Value-at-Risk (VaR) from the historical return series. The proposed method uses spline interpolation to represent the empirical probability distribution of the return series. The approach developed in this paper
Saeed Shaker-Akhtekhane, Solmaz Poorabbas   +1 more
semanticscholar   +1 more source

The New Area-Wide Model II: An Extended Version of the ECB’s Micro-Founded Model for Forecasting and Policy Analysis with a Financial Sector

Social Science Research Network, 2018
This paper provides a detailed description of an extended version of the ECB’s New Area-Wide Model (NAWM) of the euro area (cf. Christoffel, Coenen, and Warne 2008).
G. Coenen, P. Karadi, Sebastian Schmidt, A. Warne   +3 more
semanticscholar   +1 more source

EXCHANGE RATE PASS-THROUGH IN MOROCCO: A STRUCTURAL VAR APPROACH

European Journal of Economic and Financial Research, 2021
This study analyzes the impact of short- and long-term exchange rate fluctuations in Morocco. The purpose of this paper is to study the shocks transmission of exchange rates variations to prices index known as exchange rate pass-through.
El Amri Youness, Abdelhamid El Bouhadi, Mimoun Benali   +2 more
semanticscholar   +1 more source

Regression Analysis: A Theoretical Approach

Journal of Statistical and Econometric Methods
The main objective of this document is to provide a comprehensive understanding in the area of simple regression, especially for undergraduate students majoring in economics, finance and statistics.
Teshome Hailemeskel Abebe
semanticscholar   +1 more source

Fed’s Dual Mandate: Maximum Employment and Price Stability

Journal of Applied Finance & Banking
In this paper, we look at the dual mandate (price stability and maximum employment) as policy objectives of the central bank (the Fed) and we test mostly the effectiveness of policy instruments on these two ultimate objectives. We start from 1978 to 2008
Ioannis N. Kallianiotis
semanticscholar   +1 more source

Stocks, Gold and Crude Oil: How Valuable are Volatility and Correlation Timing?

Journal of Applied Finance & Banking
We study the sources of portfolio returns under parameter uncertainty arising from allocation strategies based on holdings of the NASDAQ index, WTI crude oil and gold.
P. Zagaglia
semanticscholar   +1 more source

Scale Heterogeneity and Its Implications for Discrete Choice Analysis

Land Economics, 2019
This paper shows how researchers can make incorrect interpretations of models that include heterogeneity in error variance (scale) if they do not recognize the implications of parameter estimates being conflated with scale.
K. Davis, M. Burton, M. Kragt
semanticscholar   +1 more source