https://www.econstor.eu/bitstream/10419/45422/1/638343968.pdf

Better to give than to receive: Predictive directional measurement of volatility spillovers

The authors study the effect of word-of-mouth (WOM) marketing on member growth at an Internet social networking site and compare it with traditional marketing vehicles. Because social network sites record the electronic invitations from existing members, outbound WOM can be precisely tracked. Along with traditional marketing, WOM can then be linked to the number of new members subsequently joining the site (sign-ups). Because of the endogeneity among WOM, new sign-ups, and traditional marketing activity, the authors employ a vector autoregressive (VAR) modeling approach. Estimates from the VAR model show that WOM referrals have substantially longer carryover effects than traditional marketing actions and produce substantially higher response elasticities. Based on revenue from advertising impressions served to a new member, the monetary value of a WOM referral can be calculated; this yields an upper-bound estimate for the financial incentives the firm might offer to stimulate WOM.

https://eresearch.ozyegin.edu.tr/xmlui/bitstream/handle/10679/56/Effects_of_Word-of-Mouth_Versus_Traditional_Marketing_Findings_from_an_Internet_Social_Networking_Site.pdf;sequence=5

Effects of Word-of-Mouth Versus Traditional Marketing: Findings from an Internet Social Networking Site

https://www.nber.org/system/files/working_papers/w17490/w17490.pdf

On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes, including trends and bursts in spillovers, and both turn out to be empirically important. In particular, in an analysis of sixteen global equity markets from the early 1990s to the present, we find striking evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts.

/pdf/measuring-financial-asset-return-and-volatility-spillovers-y60yd9snjx.pdf

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

/pdf/measuring-financial-asset-return-and-volatility-spillovers-9au6gbnond.pdf

H.Hashem Pesaran

Papers

Generalized Impulse Response Analysis in Linear Multivariate Models

The J-test as a Hausman specification test