This dissertation consists of three self-contained chapters. The common theme is the estimation of spillovers and their interpretation as networks. In financial econometrics, spillovers are mostly regarded as forecast error variance decompositions. For a clear interpretation of these spillovers, the estimation of the model's parameters is essential. The three chapters deal with different peculiarities of the estimation. In Chapter 1, I deal with the estimation of structural matrices in order to obtain a proper representation of contemporaneous spillovers. In the empirical application, I look at volatility spillovers of the US financial system. In the second chapter, we investigate the estimation of time-varying spillovers in the setup of local stationarity. Empirically, we find financial spillovers between the biggest banks in the US, Europe, and Japan. The last chapter analyzes the effect of high-dimensions on the estimation of spillover tables. An application on the industrial production index in the US aims to answer the question of whether the Great Moderation has changed spillovers between sectors.
Übersetzter Titel:
Essays in Finanzökonometrie und Spillover Schätzung
(Deutsch)
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