Econometrics, Volume 11, Issue 1

This paper proposes concepts and methods to investigate whether the bubble patterns observed in individual time series are common among them. Having established the conditions under which common bubbles are present within the class of mixed causal&nd...

This paper proposes a new method for financial portfolio optimization based on reducing simultaneous asset shocks across a collection of assets. This may be understood as an alternative approach to risk reduction in a portfolio based on a new mathema...

A causal vector autoregressive (CVAR) model is introduced for weakly stationary multivariate processes, combining a recursive directed graphical model for the contemporaneous components and a vector autoregressive model longitudinally. Block Cholesky...

In this study, we explore the effect of industry distress on recovery rates by using the unconditional quantile regression (UQR). The UQR provides better interpretative and thus policy-relevant information on the predictive effect of the target varia...

This paper proposes a methodology for building Multivariate Time-Varying STCC–GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for a...

Health preference research (HPR) is the subfield of health economics dedicated to understanding the value of health and health-related objects using observational or experimental methods. In a discrete choice experiment (DCE), the utility of objects...

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We propose an approach for jointly measuring global macroeconomic uncertainty and bilateral spillovers of uncertainty between countries using a global vector autoregressive (GVAR) model. Over the period 2000Q1–2020Q4, our global index is able t...

In this paper, we propose a new method for estimating and forecasting asymmetric stochastic volatility models. The proposal is based on dynamic linear models with Markov switching written as state space models. Then, the likelihood is calculated thro...