Now showing items 31-40 of 47
Industry Interdependency Dynamics in a Network Context
This paper contributes to model the industry interconnecting structure in a network context. General predictive model (Rapach et al. 2016) is extended to quantile LASSO regression so as to incorporate tail risks in the ...
The impact of news on US household inflation expectations
Analysis of monthly disaggregated data from 1978 to 2016 on US household in ation expectations reveals that exposure to news on in ation and monetary policy helps to explain in ation expectations. This remains true when ...
Testing Missing at Random using Instrumental Variables
This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure ...
Multivariate Factorisable Sparse Asymmetric Least Squares Regression
More and more data are observed in form of curves. Numerous applications in finance, neuroeconomics, demographics and also weather and climate analysis make it necessary to extract common patterns and prompt joint modelling ...
The Economics of German Unification after Twenty-five Years: Lessons for Korea
This paper reviews the performance of the East German economy in the turbulent quarter-century following reunification and draws some conclusions for the reunification of North and South Korea. In this period, the gap in ...
How Does Rising House Price Influence Stock Market Participation in China?
A Micro-Household Perspective
This is an empirical study on the effect of house price on stock-market participation and its depths based on unique China Household Finance Survey (CHFS) data in 2011 and 2013 including 36213 sample households. We mainly ...
Dynamic semi-parametric factor model for functional expectiles
High-frequency data can provide us with a quantity of informa- tion for forecasting, help to calculate and prevent the future risk based on extremes. This tail behaviour is very often driven by ex- ogenous components and ...
Dynamic Valuation of Weather Derivatives under Default Risk
Weather derivatives are contingent claims with payoff based on a pre-specified weather index. Firms exposed to weather risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for ...