Narrow search
Showing 1 - 10 of 12
Cover Image
Asymmetry and leverage in conditional volatility models
McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150
The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...
Persistent link: https://www.econbiz.de/10010417180
Cover Image
Forecasting cryptocurrencies under model and parameter instability
Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco - In: International journal of forecasting 35 (2019) 2, pp. 485-501
Persistent link: https://www.econbiz.de/10012300691
Cover Image
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - In: International review of economics & finance : IREF 40 (2015), pp. 40-50
Persistent link: https://www.econbiz.de/10011571858
Cover Image
Interconnections between Eurozone and us booms and us busts using a Bayesian panel Markov-switching VAR model
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - In: Journal of applied econometrics 31 (2016) 7, pp. 1352-1370
Persistent link: https://www.econbiz.de/10011687515
Cover Image
Optimal portfolio choice under decision-based model combinations
Pettenuzzo, Davide; Ravazzolo, Francesco - In: Journal of applied econometrics 31 (2016) 7, pp. 1312-1332
Persistent link: https://www.econbiz.de/10011687755
Cover Image
Using entropic tilting to combine BVAR forecasts with external nowcasts
Krüger, Fabian; Clark, Todd E.; Ravazzolo, Francesco - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 3, pp. 470-485
Persistent link: https://www.econbiz.de/10011705954
Cover Image
Electoral Competition and Redistribution with Rationally Informed Voters
Larcinese, Valentino - In: Contributions in Economic Analysis & Policy 4 (2005) 1, pp. 1-26
In spite of the negligible probability that everyone has to cast a decisive vote, political information can be relevant … for a number of private decisions. Under quite mild assumptions, the demand for information is increasing in income. Being … redistribution. This is consistent with most empirical research in this field. Finally, an increase in the cost of information …
Persistent link: https://www.econbiz.de/10014587518
Cover Image
An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series
Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - In: Applied economics 49 (2017) 7, pp. 677-692
Persistent link: https://www.econbiz.de/10011810876
Cover Image
Does political knowledge increase turnout? Evidence from the 1997 British general election
Larcinese, Valentino - In: Public Choice 131 (2007) 3, pp. 387-411
A number of recent formal models predict a positive effect of political knowledge on turnout. Both information … proxies of information supply on mass media. Using survey data from the 1997 British General Election Study, I show that …
Persistent link: https://www.econbiz.de/10005542645
Cover Image
Electoral Competition and Redistribution with Rationally Informed Voters
Larcinese, Valentino - In: Contributions to Economic Analysis & Policy 4 (2005) 1, pp. 1366-1366
In spite of the negligible probability that everyone has to cast a decisive vote, political information can be relevant … for a number of private decisions. Under quite mild assumptions, the demand for information is increasing in income. Being … redistribution. This is consistent with most empirical research in this field. Finally, an increase in the cost of information …
Persistent link: https://www.econbiz.de/10005579431