Browsing Working Papers by Subject "C12"

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Browsing Working Papers by Subject "C12"

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    Title: Granger-Causal Analysis of VARMA-GARCH Models  Author(s): WOŹNIAK, Tomasz Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Recent economic developments have shown the importance of spillover and contagion effects in financial markets. Such effects are not limited to relations between the levels of financial variables but also impact on their ...
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    Title: Testing Causality between Two Vectors in Multivariate GARCH Models  Author(s): WOŹNIAK, Tomasz Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Spillover and contagion effects have gained significant interest in the recent years of financial crisis. Attention has not only been directed to relations between returns of financial variables, but to spillovers in risk ...
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    Title: Choice of Sample Split in Out-of-Sample Forecast Evaluation  Author(s): HANSEN, Peter Reinhard; TIMMERMANN, Allan Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Out-of-sample tests of forecast performance depend on how a given data set is split into estimation and evaluation periods, yet no guidance exists on how to choose the split point. Empirical forecast evaluation results can ...
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    Title: How to Attain Minimax Risk with Applications to Distribution-Free Nonparametric Estimation and Testing  Author(s): SCHLAG, Karl H. Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We show how to a derive exact distribution-free nonparametric results for minimax risk when underlying random variables have known finite bounds and means are the only parameters of interest. Transform the data with a ...
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    Title: Volatility, Financial Development and the Natural Resource Curse  Author(s): VAN DER PLOEG, Frederick; POELHEKKE, Steven Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Cross-country evidence is presented on resource dependence and the link between volatility and growth. First, growth depends negatively on volatility of unanticipated output growth independent of initial income per capita, ...