Search results for "Econometria"

The European sovereign debt market: from integration to segmentation

2013

This paper investigates the impact of European Monetary Union (EMU) and of the recent financial and fiscal crisis on the integration of the European sovereign debt market using annual data 1992–2010. The panel regression dependent variable is time-varying market linkages computed from daily realised correlations between sovereign bond returns for 13 European economies and Germany. The results indicate that the elimination of currency risk following the implementation of EMU led to a fundamental and significant one-off increase in integration. The net impact of fiscal fundamentals was negligible up until 2009 as the markets seemed to be pricing in a potential bailout for member states in cri…

Risk aversion connectedness in five European countries

2018

Abstract In this paper we compute an aggregate index of risk aversion and indices of vulnerability and the contribution to systemic risk aversion for five European countries. The variance risk premium proxies risk aversion. The contribution to the literature is twofold. First, this is the first study estimating not only the common component, but also indices of directional connectedness among variance risk premia. Second, it is the first to estimate the interconnections by means of a FIVAR model, in order to account for long memory. Our analysis indicates measures of total and directional connectedness unlike those that would be obtained with the use of a short memory VAR. These differences…

The Decline in U.S. Output Growth Volatility: A Wavelet Analysis

2013

The aim of the paper is to determine whether or not the volatility of the growth rate of US output has changed in the period since late 1940's, and to attribute a precise date, if possible, to any such change. By applying the Discrete Wavelet Transform (DWT) to the annualized quarter-to quarter output growth series, we can test the homogeneity of the variance on a scale by scale basis without needing to fit a parametric model to the observed time series. A version of the Inclan and Tiao (1994) Normalised and Centered Cumulative Sum of Squares test, adapted to wavelet analysis, leads us to reject the null hypothesis of constant variance in the two levels of decomposition of the highest resol…

Wavelet Analysis and Denoising: New Tools for Economists

2007

This paper surveys the techniques of wavelets analysis and the associated methods of denoising. The Discrete Wavelet Transform and its undecimated version, the Maximum Overlapping Discrete Wavelet Transform, are described. The methods of wavelets analysis can be used show how the frequency content of the data varies with time. This allow us to pinpoint in time such events as major structural breaks. The sparse nature of the wavelets representation also facilitates the process of noise reduction by nonlinear \textit{wavelet shrinkage,} which can be used to reveal the underlying trends in economic data. An application of these techniques to the UK real GDP (1873--2001) is described. The purpo…

MATERIAL DEPRIVATION AMONG FOREIGNERS IN ITALY

2014

In all European countries, migrant populations tend to have worse living conditions than native; this is particularly true for those born outside the EU. This paper proposes a new way to look at the relative living conditions of foreigners by looking at non-monetary (or ‘direct’) indicators of material deprivation in Italy-a country characterized by the presence of a wide range of nationalities. To examine differences in economic integration of foreigners, the paper documents deprivation differentials across groups of foreigners. In particular, we measure differences in material deprivation between groups of foreigners once we control for the demographic and socioeconomic characteristics of…

Curs d'Econometria: part teòrica

2015

El document conté les transparències usades per il·lustrar i complementar les classes teòriques de l'assignatura Econometria, codi 35.820, que s'imparteix en el Grau d'Administració i Direcció d'Empreses de la Universitat de València. És un curs d'introducció a l'Econometria amb sis unitats temàtiques: 1) Models economètrics i dades econòmiques 2) El model de regressió 3) Propietats i hipòtesis en el model de regressió 4) Contrastament de hipòtesis en el model de regressió múltiple 5) Anàlisi de regressió múltiple amb informació qualitativa 6) Incompliment de les hipòtesis bàsiques

A note on normalization schemes: The case of generalized forecast error variance decompositions

2016

The aim of this paper is to propose new normalization schemes for the values obtained from the generalized forecast error variance decomposition, in order to obtain more reliable net spillover measures. We provide a review of various matrix normalization schemes used in different application domains. The intention is to contribute to the financial econometrics literature aimed at building a bridge between different approaches able to detect spillover effects, such as spatial regressions and network analyses. Considering DGPs characterized by different degrees of correlation and persistence, we show that the popular row normalization scheme proposed by Diebold and Yilmaz (2012), as well as t…

Sampling design and weighting strategies in SHARE Wave 6

2017

SNP and SML estimation of univariate and bivariate binary–choice models

2008

We discuss the semi-nonparametric approach of Gallant and Nychka (1987, Econometrica 55: 363–390), the semiparametric maximum likelihood approach of Klein and Spady (1993, Econometrica 61: 387–421), and a set of new Stata commands for semiparametric estimation of three binary-choice models. The first is a univariate model, while the second and the third are bivariate models without and with sample selection, respectively. The proposed estimators are root-n consistent and asymptotically normal for the model parameters of interest under weak assumptions on the distribution of the underlying error terms. Our Monte Carlo simulations suggest that the efficiency losses of the semi-nonparametric a…

Territorial capital and the economic crisis: The role of spatial effects

2013

Activity-geospatial approach forms methodological basis of the concept of geospatial self-organization of a society as new theoretical paradigm of societal geography (SG) with next main principles: a) Self-organization of society and its key subsystems (economical, social, political, spiritual) in specifically localised natural and societal qualities of geospace (Earth's surface space) forms the process of geospatial self-organization of a society and its results - geospatial interests, processes, systems, structures as societal-geospatial phenomena of different scale (global, regional, local, etc.). So societal processes acquire specific geospatial shapes that combine a geospatial (geograp…