Related papers: Structural Breaks in Interactive Effects Panels an…
This paper develops a new toolbox for multiple structural break detection in panel data models with interactive effects. The toolbox includes tests for the presence of structural breaks, a break date estimator, and a break date confidence…
Identifying structural change is a crucial step in analysis of time series and panel data. The longer the time span, the higher the likelihood that the model parameters have changed as a result of major disruptive events, such as the…
COVID-19 has impacted the economy of almost every country in the world. Of particular interest are the responses of the economic indicators of developing nations (such as BRICS) to the COVID-19 shock. As an extension to our earlier work on…
In this note, we discuss the impact of the COVID-19 outbreak from the perspective of the market-structure. We observe that the US market-structure has dramatically changed during the past four weeks and that the level of change has followed…
The main objective of this study is to check short term stress of COVID-19 on the American, European, Asian, and Pacific stock market indices, furthermore, the correlation between all the stock markets during the pandemic. Secondary data of…
Reliable estimates of volatility and correlation are fundamental in economics and finance for understanding the impact of macroeconomics events on the market and guiding future investments and policies. Dependence across financial returns…
We identify a robust structural signature of stock markets during exogenous shock events by analyzing collective return dynamics across G5 countries. Using Random Matrix Theory, we introduce the complexity gap, defined as the difference…
This paper considers a linear panel model with interactive fixed effects and unobserved individual and time heterogeneities that are captured by some latent group structures and an unknown structural break, respectively. To enhance realism…
The recent coronavirus disease (COVID-19) outbreak has dramatically increased the public awareness and appreciation of the utility of dynamic models. At the same time, the dissemination of contradictory model predictions has highlighted…
The stock market is volatile and complicated, especially in 2020. Because of a series of global and regional "black swans," such as the COVID-19 pandemic, the U.S. stock market triggered the circuit breaker three times within one week of…
Correlations among stock returns during volatile markets differ substantially compared to those from quieter markets. During times of financial crisis, it has been observed that traditional dependency in global markets breaks down. However,…
At the beginning of the COVID-19 outbreak in March, we observed one of the largest stock market crashes in history. Within the months following this, a volatile bullish climb back to pre-pandemic performances and higher. In this paper, we…
Using a panel payment system dataset of thirty-three provinces in Indonesia, we examine the impact of digital payment on the regional economy, considering structural breaks induced by unprecedented events and policies. Digital payments were…
While the coronavirus spreads, governments are attempting to reduce contagion rates at the expense of negative economic effects. Market expectations plummeted, foreshadowing the risk of a global economic crisis and mass unemployment.…
The coronavirus is a global event of historical proportions and just a few months changed the time series properties of the data in ways that make many pre-covid forecasting models inadequate. It also creates a new problem for estimation of…
Reliable short term forecasting can provide potentially lifesaving insights into logistical planning, and in particular, into the optimal allocation of resources such as hospital staff and equipment. By reinterpreting COVID-19 daily cases…
The advent of the COVID-19 pandemic has instigated unprecedented changes in many countries around the globe, putting a significant burden on the health sectors, affecting the macro economic conditions, and altering social interactions…
The paper presents the comparative study of the nature of stock markets in short-term and long-term time scales with and without structural break in the stock data. Structural break point has been identified by applying Zivot and Andrews…
Assessing the trend of the COVID-19 pandemic and policy effectiveness is essential for both policymakers and stock investors, but challenging because the crisis has unfolded with extreme speed and the previous index was not suitable for…
Intervention policies against COVID-19 have caused large-scale disruptions globally, and led to a series of pattern changes in the power system operation. Analyzing these pandemic-induced patterns is imperative to identify the potential…