{"id":105985,"date":"2021-01-22T10:02:25","date_gmt":"2021-01-22T09:02:25","guid":{"rendered":"https:\/\/www.ieseg.fr\/?post_type=events&p=105985"},"modified":"2021-01-27T09:18:38","modified_gmt":"2021-01-27T08:18:38","slug":"finance-research-seminar-b-candelon","status":"publish","type":"events","link":"https:\/\/www.ieseg.fr\/en\/events\/finance-research-seminar-b-candelon\/","title":{"rendered":"Finance Research Seminar: “Testing for the Validity of W in GVAR models\u201d by Bertrand CANDELON – Universit\u00e9 Catholique de Louvain"},"content":{"rendered":"

\"\"<\/p>\n

Speaker: Bertrand CANDELON<\/a><\/strong><\/p>\n

Universit\u00e9 Catholique de Louvain<\/p>\n

Date and Location – Thursday January 28th 2021 from 12:30 to 14:00 on Zoom<\/strong><\/p>\n

ABSTRACT<\/h2>\n

Global VAR<\/em>s are one of the mot established econometric frameworks to analyse cross-country\/markets interconnections. Nevertheless, they are based on pre-specified channels of interdependence (proxied by the matrix of distance W<\/em>) that are never empirically tested. This paper develops a simple Likelihood Ratio Test for the validity of the proposed channels, assesses its asymptotic size and power, and proposes a bootstrapped alternative to avoid finite sample distortions. In the empirical application regarding euro area sovereign bond yields modelling, the most popular channels get rejected. The nonrejected W<\/em> oulines the importance of contagion and flight-to-quality mechanisms even before the sovereign debt crisis.<\/p>\n

Keywords: Global VAR, Structural VAR, Likelihood Ratio Test, Interdependence<\/em>
\nJEL Classification: C12, C32, C52, E43, H63<\/em><\/p>\n

More<\/strong> Info<\/a><\/div>\n

Join<\/strong> the webinar<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"

Speaker: Bertrand CANDELON Universit\u00e9 Catholique de Louvain Date and Location – Thursday January 28th 2021 from 12:30 to 14:00 on Zoom ABSTRACT Global VARs are one of the mot established […]<\/p>\n","protected":false},"featured_media":0,"template":"","events-category":[200,66,166],"acf":[],"yoast_head":"\nFinance Research Seminar: "Testing for the Validity of W in GVAR models\u201d by Bertrand CANDELON - Universit\u00e9 Catholique de Louvain - I\u00c9SEG<\/title>\n<meta name=\"description\" content=\"Speaker: Bertrand CANDELON Universit\u00e9 Catholique de Louvain Date and Location - Thursday January 28th 2021 from 12:30 to 14:00 on Zoom ABSTRACT Global\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.ieseg.fr\/en\/events\/finance-research-seminar-b-candelon\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Finance Research Seminar: "Testing for the Validity of W in GVAR models\u201d by Bertrand CANDELON - 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