Title:Detecting nonlinear interdependencies in eurozone peripheral equity markets : a multistep filtering approach Author(s):BEKIROS, Stelios D.; AVDOULAS, Christos; BOUBAKER, SabriDate:2016Citation:
- Economic modelling, 2016, Vol. 58, pp. 580-587
Type:ArticleAbstract:This paper assesses the presence of linear and nonlinear dynamic causal relations among the stock markets of the Eurozone peripheral countries, namely Portugal, Ireland, Italy, Greece and Spain (PIIGS countries). In addition ...
Title:Pareto weights as wedges in two-country models Author(s):BACKUS, David; COLEMAN, Chase; FERRIERE, Axelle; LYON, SpencerDate:2016Citation:
- Journal of economic dynamics and control, 2016, Vol. 72, pp. 98–110
Type:ArticleAbstract:In models with recursive preferences, endogenous variation in Pareto weights would be interpreted as wedges from the perspective of a frictionless model with additive preferences. We describe the behavior of the relative ...