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London calling : nonlinear mean reversion across national stock markets
Kim, Hyeongwoo; Kim, Jintae - 2017
Persistent link: https://www.econbiz.de/10011703213
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London calling : nonlinear mean reversion across national stock markets
Kim, Hyeongwoo; Kim, Jintae - 2014
Persistent link: https://www.econbiz.de/10010512603
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Are the current accounts of Asian-5 economies mean-reverting? : new evidence from Fourier panel stationarity tests
Husein, Jamal; Kara, S. Murat; Pier, Chuck - In: Cogent economics & finance 11 (2023) 2, pp. 1-11
mainly employed traditional unit-root tests, our research stands out for its use of novel panel stationarity tests that …
Persistent link: https://www.econbiz.de/10014501140
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Public debt and economic growth in sub-Saharan Africa : nonlinearity and threshold effects
Okwoche, Princewill U.; Makanza, Christine S. - In: Cogent economics & finance 11 (2023) 2, pp. 1-24
trade shocks. Our dataset comprises 24 SSA countries spanning 39 years from 1980 to 2018. We employ a variety of panel … estimation techniques suitable for addressing the problems of endogeneity and cross-section dependence. The fixed effects … cases. Some variations in threshold estimates based on differences in empirical estimation techniques were observed, which …
Persistent link: https://www.econbiz.de/10014502811
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The spillover of inflation among the G7 countries
Istiak, Khandokar; Tiwari, Aviral Kumar; Husain, Humaira; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-20
Many global shocks, including the renegotiation of NAFTA, the United States-China trade war, the Brexit, and the COVID-19 pandemic, may have recently influenced the inflation spillover in the G7 countries. The current literature overlooks the influence of these important events on the inflation...
Persistent link: https://www.econbiz.de/10012627127
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Stationary threshold vector autoregressive models
Grynkiv, Galyna; Stentoft, Lars - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-23
This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...
Persistent link: https://www.econbiz.de/10011895647
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Conditional Gauss-Hermite filtering with application to volatility estimation
Singer, Hermann - 2008
Persistent link: https://www.econbiz.de/10003795449
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Nonlinear causality testing with stepwise multivariate filtering
Bekiros, Stelios - 2011
Persistent link: https://www.econbiz.de/10009238617
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Generalized Gauss-Hermite filtering for multivariate difussion processes
Singer, Hermann - 2006
Persistent link: https://www.econbiz.de/10013409326
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Homogenous vs. heterogenous transition functions in smooth transition regressions : a LM-type test
Demetrescu, Matei; Leppin, Julian Sebastian; Reitz, Stefan - 2017
(Panel) Smooth Transition Regressions substantially gained in popularity due to their flexibility in modeling … regression coefficients as homogeneous or heterogeneous functions of transition variables. In the estimation process, however … estimation time, rendering their application less appealing. This paper proposes a Lagrange multiplier test indicating whether …
Persistent link: https://www.econbiz.de/10011749886