Zobrazeno 1 - 10
of 20
pro vyhledávání: '"Michael Ellington"'
Publikováno v:
International Journal of Forecasting
This paper proposes two new measures of illiquidity for real estate markets, utilising concepts from asset pricing. Segregating real estate through a regional lens, we provide an in-depth analysis of real estate returns and illiquidity for the US and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::48f8f036b2f8690e6c98d63314c14573
https://doi.org/10.1016/j.ijforecast.2021.08.005
https://doi.org/10.1016/j.ijforecast.2021.08.005
Publikováno v:
Journal of Money, Credit and Banking.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1a321d611daf06bcb35766afcfd3378f
https://doi.org/10.1111/jmcb.13056
https://doi.org/10.1111/jmcb.13056
Publikováno v:
International Review of Financial Analysis
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c3542f24e4940726852ffbbc4f468231
http://livrepository.liverpool.ac.uk/3156983/1/IRFA_R&R_2022.pdf
http://livrepository.liverpool.ac.uk/3156983/1/IRFA_R&R_2022.pdf
Autor:
Michael Ellington
Publikováno v:
European Journal of Operational Research
This paper accounts for fat tails and serial dependence for implied volatility index network connections among equity and commodity markets using Bayesian vector heterogeneous autoregressions. I analyse the information content of such connections ove
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e348b3f2816fe13eb6b708de2e524c84
http://livrepository.liverpool.ac.uk/3138563/9/Ellington_2020_IVNETS_EJOR_R2.pdf
http://livrepository.liverpool.ac.uk/3138563/9/Ellington_2020_IVNETS_EJOR_R2.pdf
Autor:
Marcin Michalski, Michael Ellington
Publikováno v:
SSRN Electronic Journal.
This paper investigates whether the use of broader Divisia monetary aggregates improves money’s performance in forecasting economic activity within a time-varying parameter vector autoregressive (TVP-VAR) framework. We evaluate entire predictive de
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6a56955313f24646ff8664a265366453
https://doi.org/10.2139/ssrn.4081917
https://doi.org/10.2139/ssrn.4081917
Autor:
Costas Milas, Michael Ellington
Publikováno v:
SSRN Electronic Journal
Journal of Financial Stability
Journal of Financial Stability
This paper examines the inflationary impact of domestic and global liquidity conditions on UK inflation through the lens of monetary aggregates. To do so, we rely on standard linear models as well as non-linear models that allow for regime switching
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::19547d82fa2b604b9d5cbafad6f62ecd
https://doi.org/10.1016/j.jfs.2019.05.012
https://doi.org/10.1016/j.jfs.2019.05.012
Autor:
Costas Milas, Michael Ellington
Publikováno v:
The Quarterly Review of Economics and Finance
We conduct an empirical investigation into the economic implications of aggregate liquidity shocks, through the lens of monetary aggregates, in harmony with conventional monetary policy shocks in an estimated time-varying parameter VAR model. Our res
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9c5c29a5a88a909fbedd2c10a910c724
http://livrepository.liverpool.ac.uk/3026716/1/EM_2018_full.pdf
http://livrepository.liverpool.ac.uk/3026716/1/EM_2018_full.pdf
Autor:
Jozef Baruník, Michael Ellington
Publikováno v:
SSRN Electronic Journal.
This paper examines the pricing of short-term and long-term dynamic network risk in the cross-section of stock returns. Stocks with high sensitivities to dynamic network risk earn lower returns. We rationalize our finding with economic theory that al
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ca08886f71dc4d0af1962abf1831112e
https://doi.org/10.2139/ssrn.3622200
https://doi.org/10.2139/ssrn.3622200
Autor:
Michael Ellington, Jozef Baruník
Publikováno v:
SSRN Electronic Journal.
This paper identifies frequency-dependent network structures that evolve over time. To measure such dynamic networks, we propose a computationally efficient framework that is widely applicable to many economic and financial datasets, and readily avai
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::114ea6bfacf5294d5219cb30f8a735c1
https://doi.org/10.2139/ssrn.3651134
https://doi.org/10.2139/ssrn.3651134
Autor:
Michael Ellington
Publikováno v:
Journal of Banking and Finance
We examine the link between financial market illiquidity and macroeconomic dynamics by fitting a Bayesian time-varying parameter VAR with stochastic volatility to UK data from 1988Q1 to 2016Q4. We capture liquidity conditions in the stock market usin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::edd5c39fcb965aa6b17556b7dd5a36c1
https://doi.org/10.1016/j.jbankfin.2018.02.013
https://doi.org/10.1016/j.jbankfin.2018.02.013