| bibtype |
J -
Journal Article
|
| ARLID |
0578729 |
| utime |
20240304105912.5 |
| mtime |
20231128235959.9 |
| SCOPUS |
85178233044 |
| WOS |
001130117000001 |
| DOI |
10.1016/j.jedc.2023.104793 |
| title
(primary) (eng) |
Dynamic industry uncertainty networks and the business cycle |
| specification |
| page_count |
22 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0251195 |
| ISSN |
0165-1889 |
| title
|
Journal of Economic Dynamics & Control |
| volume_id |
159 |
| publisher |
|
|
| keyword |
Financial uncertainty |
| keyword |
Industry network |
| keyword |
Options market |
| keyword |
Business cycle |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| garant |
K |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0398135 |
| name1 |
Bevilacqua |
| name2 |
M. |
| country |
GB |
|
| author
|
| ARLID |
cav_un_auth*0458703 |
| name1 |
Faff |
| name2 |
R. |
| country |
AU |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GX19-28231X |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0385135 |
|
| abstract
(eng) |
This paper identifies smoothly varying industry uncertainty networks from option prices that contain valuable information about business cycles, especially in terms of forecasting. Such information is stronger when the network is formed on uncertainty hubs, firms identified as the main contributors to uncertainty shocks. The stronger predictive ability of the hubs-based network is robust to a wide range of checks, the inclusion of a large set of controls, and is also confirmed out-of-sample. |
| reportyear |
2025 |
| RIV |
AH |
| result_subspec |
WOS |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| num_of_auth |
3 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0347796 |
| mrcbC61 |
1 |
| confidential |
S |
| article_num |
104793 |
| mrcbC91 |
C |
| mrcbT16-e |
ECONOMICS |
| mrcbT16-j |
1.202 |
| mrcbT16-D |
Q2 |
| arlyear |
2024 |
| mrcbU14 |
85178233044 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
001130117000001 WOS |
| mrcbU63 |
cav_un_epca*0251195 Journal of Economic Dynamics & Control 159 1 2024 0165-1889 1879-1743 Elsevier |
|