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Full-Text Articles in Econometrics
A Smooth Transition Sem Approach To Measure Contagion In International Markets\, Anjeza Kadilli, Jaya Krishnakumar
A Smooth Transition Sem Approach To Measure Contagion In International Markets\, Anjeza Kadilli, Jaya Krishnakumar
Anjeza Kadilli
There is extensive empirical evidence that market linkages strengthen during crises. Understanding market contagion can be of great importance for policy and portfolio diversification decisions, especially during the recent turmoil periods. The aim of this paper is to investigate in an asset-pricing perspective the cross-asset and the cross-country contagion in the sovereign Credit Default Swap market and in the banking sector for the euro area, U.S., U.K. and Switzerland. Based on the nonlinear Simultaneous Equation Model of Pesaran and Pick (2007) we formulate a more flexible setting in which the contagion effect is transmitted in a smooth manner. Our model …
Return Predictability In International Financial Markets And The Role Of Investor Sentiment, Anjeza Kadilli
Return Predictability In International Financial Markets And The Role Of Investor Sentiment, Anjeza Kadilli
Anjeza Kadilli
We investigate the predictability of stock returns in the financial market for a large panel of developed countries using investor sentiment, business-cycle variables and financial indicators within two panel regime-switching models, with threshold and smooth transition between regimes. We find strong evidence of predictability of long-term returns following the business cycles, but much weaker results for the short-run returns. During crisis times, investor sentiment and inflation become key factors in predicting stock returns. Different tests and goodness of fit measures point out that the use of regime-switching models is more appropriate than linear models. To our knowledge, this study is …
A Panel Smooth Transition Regression Model For The Determinants Of Inflation Expectations And Credibility In The Ecb And The Recent Financial Crisis, Anjeza Kadilli
Anjeza Kadilli
No abstract provided.
Spatial Econometrics And Spillover Effects In Panel Data: Evidence From The Swiss Cantons' Expenditure, Anjeza Kadilli
Spatial Econometrics And Spillover Effects In Panel Data: Evidence From The Swiss Cantons' Expenditure, Anjeza Kadilli
Anjeza Kadilli
No abstract provided.