Search Results - subject:"Vector autoregressive"

Does monetary policy respond differently to oil price shocks? : new evidence from the Gulf Cooperation Council countries

Al-Hashel, Mohammad; Alrashidi, Atef; Saidi, Youssef - 2024

Persistent link: https://www.econbiz.de/10015064671

Metaverse and financial markets : a quantile-time-frequency connectedness analysis

Aysan, Ahmet Faruk; Batten, Jonathan A.; Gozgor, Giray; … - In: Research in international business and finance 72 (2024) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10015065740

Should monetary policy in South Africa lean against the wind by targeting the financial cycle?

Nyati, Malibongwe Cyprian - In: Economies : open access journal 12 (2024) 6, pp. 1-20

-equation generalized method of moments and structural vector autoregressive approaches, this article simultaneously estimates and compares …

Persistent link: https://www.econbiz.de/10014636050

On the validity of granger causality for ecological count time series

Papaspyropoulos, Konstantinos G.; Kugiumtzis, Dimitris - In: Econometrics : open access journal 12 (2024) 2, pp. 1-21

formulated in terms of vector autoregressive (VAR) models. Granger causality for count time series, often seen in ecology, has …

Persistent link: https://www.econbiz.de/10014636412

Inflation-dependent exchange rate pass-through in Sweden : insights from a logistic smooth transition VAR model

Linderoth, Gabriella; Meuller, Malte - 2024

using a logistic smooth transition vector autoregressive model. The model enables smooth transitions between high and low …

Persistent link: https://www.econbiz.de/10015062497

Safe haven for crude oil : bitcoin or precious metals? : new insight from time varying coefficient-vector autoregressive model

Abidi, Ilyes; Touhami, Kamel - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 1, pp. 184-195

Persistent link: https://www.econbiz.de/10014484270

Modeling and forecasting closing prices of some coal mining companies in Indonesia by using the VAR(3)-BEKK GARCH (1,1) model

Wamiliana; Russel, Edwin; Alam, Iskandar Ali; Widiarti; … - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 1, pp. 579-591

Persistent link: https://www.econbiz.de/10014494811

The rapid rise of Russia's wheat exports : price formation, spot-futures relations and volatility effects

Heigermoser, Maximilian - Leibniz-Institut für Agrarentwicklung in … - 2023

vector autoregressive (VAR), autoregressive moving average (ARMA) and vector error correction models (VECM), the econometric … Zeitreihenökonometrie und speziell auf Preisanalyse. Unter Verwendung von vector autoregressive (VAR), autoregressive moving average (ARMA …

Persistent link: https://www.econbiz.de/10013534341

The Bayesian vector autoregressive model as an analysis of the government expenditure shocks while the covid-19 pandemic to macroeconomic factors

Devianto, Dodi; Yollanda, Mutia; Maryati, Sri; Maiyastri; … - In: Journal of open innovation : technology, market, and … 9 (2023) 4, pp. 1-12

This empirical work aims to determine whether the government expenditure shocks on consumption have impacts on macroeconomic factors. This study prepares four quarterly period datasets associated with macroeconomic activities in Indonesia with 24 data started in 2017 until 2022, such as...

Persistent link: https://www.econbiz.de/10014506698

Johansen test with Fourier-type smooth nonlinear trends in cointegrating relations

Kurita, Takamitsu; Shintani, Mototsugu - 2023

Persistent link: https://www.econbiz.de/10014383879