Leverage as a predictor for real activity and volatility

DOI10.1016/j.jedc.2012.03.010zbMath1345.91053OpenAlexW2029268966MaRDI QIDQ310975

Robert Kollmann, Stefan Zeugner

Publication date: 28 September 2016

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/85421/1/2011-009-KOLLMANN_ZEUGNER-leverage.pdf

zbMATH Keywords

volatilityleveragefinancial crisisforecastsreal activity

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (1)

Risk pooling, intermediation efficiency, and the business cycle

Cites Work

• Unnamed Item
• Approximately normal tests for equal predictive accuracy in nested models
• The role of bank capital in the propagation of shocks
• Forecasting Using Principal Components From a Large Number of Predictors

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