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In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...
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natural gas spot and futures returns data from two major international natural gas derivatives markets, namely NYMEX (USA) and … ICE (UK), as well as ETF data of natural gas companies from the stock markets in the USA and UK. The empirical results … show that there are significant spillover effects in natural gas spot, futures and ETF markets for both USA and UK. Such a …
Persistent link: https://www.econbiz.de/10011490999
, namely North Sea, USA, Middle East, and South-East Asia. Associated with these regions are two major financial centers …, namely UK and USA. For these reasons, the data to be used are the returns on alternative crude oil markets, returns on crude … oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese …
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estimation pointtowards a positive long-run growth effect arising from trade specialization in medium …
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literature. In contrast, studies on relative location tend to be weakly linked to theory, but apply relatively sophisticated … appropriateness of such models, and identify areas of potential concern. The rather weak linkage between theory and operational models …
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spatial structure that is required for the estimation of spatial models improves the forecasting performance of non …
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