return and volatility spillovers are important for portfolio selection, asset valuation and market efficiency investigation. using a var-bekk framework model, this paper investigates return and volatility spillover effects between three size-sorted equity indices in tehran stock exchange (tse). although daily return of large stocks leads small stocks (lead-lag effect), there wasn’t any spillove...

Wind power is the fastest growing renewable energy source in the United States. Existing empirical studies on the economic impact of wind power development have primarily relied on case studies and input-output models, which have limitations. This study instead uses a linear fixed effects model to estimate the county level effects of wind power in the Great Plains region of the United States fr...

the price volatility spillover effect indicates that price volatility in different markets can be mutually affected. the objective of the study is to analyze volatility price spillover effects on the vertical levels including input, wholesale and retail sale levels in the tehran beef supply chain. the multivariate generalized autoregressive conditional heteroskedastic (mvgarch) model was used b...

We discuss the possibility of obtaining model-free bounds on volatility derivatives, given present market data in the form of a calibrated local volatility model. A counter-example to a wide-spread conjecture is given. keywords: local vol, Dupire’s formula; MSC: 91G99; JEL: G10.

This paper tests the feasibility and empirical implications of a spatial econometric model with a full set of interaction effects and weight matrix defined as an equally weighted group interaction matrix applied to research productivity of individuals. We also elaborate two extensions of this model, namely with group fixed effects and with heteroskedasticity. In our setting the model with a ful...

This paper investigates the effects of the Clean Air Act on local manufacturing wages. Taking into account wage spillovers explicitly into the model distinguishes this paper from existing studies in which spillover effects were ignored or were not a major focus. Using the 1982-2007 Census of Manufactures and the historical pollutant-specific nonattainment status for all counties, a wage model h...

The paper tests for external effects of local economic activity on consumption and income growth at the farm household level using panel data from four provinces of post-reform rural China. The tests allow for nonstationary fixed effects in the consumption growth process. Evidence is found of geographic externalities, stemming from spillover effects of the level and composition of local economi...