None of these features can be observed in the conventional impulse response analysis exclusively based on the conditional mean function. In addition to proposing the QIRF, our second contribution is to present a
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Fig. 2. Impulse-response functions of the BRICS market induced by a specific shock in the US market index during the first sample period. The black and red solid lines represent the responses at the 0.99 and 0.01 quantiles, respectively. The dotted lines represent their corresponding confidence ...
To fill this gap in the literature, we compile empirical evidence on the quantile interconnectedness of C-SIBs from the salience theory perspective. The setting of employing a natural experiment in C-SIBs is appealing from an empirical standpoint. As the second largest economy in the world, China...
Two well-known evaluation functions, i.e., the mean squared predicted error (MSE) and the mean absolute predicted error (MAE), are employed to evaluate the forecasting accuracy of Eq. (15). Table 6 summarizes the MAE and MSE ratios of the HAR-RV-X model with higher-order moment ...
The contribution of the wavelet functions to the overall signal is denoted by the wavelet transform's coefficients ( RJ,k , dJ,k , …,d1,k). Therefore, a time series m(t) can be represented in terms of those signals using a J -level multi-resolution decomposition analysis: m(...
This study examined extreme return spillovers and connectedness between crude oil (West Texas Intermediate), the Volatility Uncertainty Index (VIX), S&P 500, and six Latin American stock markets, namely, Argentina, Brazil, Chile, Colombia, Mexico, an
Identification strategies and structural quantile impulse response functions are derived as generalization of the VAR model. The model is estimated using real and financial variables for the euro area. The dynamic properties of the system change across quantiles. This is relevant for stress testing ...
Moreover, innovative tail-event driven impulse functions are defined. Finally, we demonstrate the usage of our model by investigating the financial contagions in the Chinese stock market accounting for shared ownership of companies. We find higher network dependency when the market is exposed to a ...
Fig. 5. Impulse response functions.Author’s estimations. Table 10. Variance decomposition analysis. Variance decomposition of CE Period S.E. CEit ECGit RENEit INQit TINOit POPit 1 0.040616 100.0000 0.000000 0.000000 0.000000 0.000000 0.000000 2 0.062279 96.98086 0.322151 1.086501 0.244703 0.791572 0....