DIW Berlin: Publikationssuche

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12 Ergebnisse, ab 1
Diskussionspapiere 1722 / 2018

Nonlinear Intermediary Pricing in the Oil Futures Market

We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in

2018| Daniel Bierbaumer, Malte Rieth, Anton Velinov
Diskussionspapiere 1550 / 2016

The State Dependent Impact of Bank Exposure on Sovereign Risk

The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived default risk

2016| Maximilian Podstawski, Anton Velinov
Diskussionspapiere 1375 / 2014

Are There Bubbles in Stock Prices? Testing for Fundamental Shocks

This paper investigates whether there are bubbles in stock prices. We do this using a previously studied structural vector autoregressive (SVAR) model claiming to distinguish fundamental and non-fundamental shocks to real stock prices. TheSVAR model

2014| Anton Velinov, Wenjuan Chen
Diskussionspapiere 1359 / 2014

Assessing the Sustainability of Government Debt: On the Different States of the Debt/GDP Process

This paper discusses the type of trajectory a country's public debt path follows. In particular, a Markov switching ADF model is used to assess the sustainability of public debt by testing whether a government's present value borrowing constraint ...

2014| Anton Velinov
Diskussionspapiere 1356 / 2014

Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and

2014| Helmut Lütkepohl, Anton Velinov
Diskussionspapiere 1350 / 2013

Can Stock Price Fundamentals Properly be Captured? Using Markov Switching in Heteroskedasticity Models to Test Identification Schemes

Structural identification schemes are of essential importance to vector autoregressive (VAR) analysis. This paper tests a commonly used structural parameter identification scheme to assess whether it can properly capture fundamental and non ...

2013| Anton Velinov
Monographien

On Using Markov Switching Time Series Models to Verify Structural Identifying Restrictions and to Assess Public Debt Sustainability: Thesis

The first paper in this thesis deals with the issue of whether there are bubble components in stock prices. This is joint research with Wenjuan Chen (Free Universtiy Berlin). We investigate existing bivariate structural vector autoregressive (SVAR) .

Florence: European University Institute, 2013, 111 S. | Anton Velinov
Externe referierte Aufsätze

On the Importance of Testing Structural Identification Schemes and the Potential Consequences of Incorrectly Identified Models

Identification schemes are of essential importance in structural analysis. This paper focuseson testing a commonly used long-run structural parameter identification scheme claiming to identifyfundamental and non-fundamental shocks to stock prices. ..

In: Quantitative Finance and Economics 2 (2018), 1, S. 106-126 | Anton Velinov
Externe referierte Aufsätze

The State Dependent Impact of Bank Exposure on Sovereign Risk

The theoretical literature remains inconclusive on whether changes in bank exposure to the domestic sovereign have an adverse effect on the sovereign risk position through a diabolic loop in the sovereign-bank nexus, or reduce perceived default risk

In: Journal of Banking & Finance 88 (2018) S. 63-75 | Maximilian Podstawski, Anton Velinov
Externe referierte Aufsätze

Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and

In: Journal of Economic Surveys 30 (2016), 2, S. 377-392 | Helmut Lütkepohl, Anton Velinov
12 Ergebnisse, ab 1