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Latent volatility granger causality and spillovers in renewable energy and crude oil ETFs
Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2018
Funds (ETFs) and crude oil ETF (USO), namely solar (TAN), wind (FAN), water (PIO), and nuclear (NLR). Data on the renewable … relationships between solar (TAN), wind (FAN), nuclear (NLR), and crude oil (USO) ETFs, specifically significant volatility … spillovers of shocks from solar ETF on the subsequent wind ETF co-volatility with solar ETF, and wind ETF on the subsequent solar …
Persistent link: https://www.econbiz.de/10011869279
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Simplicity, scientific inference and econometric modelling
Keuzenkamp, Hugo A.; McAleer, Michael - 1994 - Rev.
Persistent link: https://www.econbiz.de/10000560594
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
Persistent link: https://www.econbiz.de/10003645182
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On the nature, modeling, and neural bases of social ties
Winden, Frans A. A. M. van; Stallen, Mirre; … - 2008
Persistent link: https://www.econbiz.de/10003739010
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Beating the random walk : a performance assessment of long-term interest rate forecasts
Butter, Frank A. G. den; Jansen, Pieter W. - 2008
Persistent link: https://www.econbiz.de/10003787153
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Out-of-sample comparison of Copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
Persistent link: https://www.econbiz.de/10003787159
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Bayesian averaging over many dynamic model structures with evidence on the great ratios and liquidity trap risk
Strachan, Rodney W.; Dijk, Herman K. van - 2008
Persistent link: https://www.econbiz.de/10003774524
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Quantile forecasting for credit risk management using possibly mis-specified Hidden Markov Models
Banachewicz, Konrad; Lucas, André - 2007
Persistent link: https://www.econbiz.de/10003482655
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Evidence on a real business cycle model with neutral and investment-specific technology shocks using Bayesian model averaging
Strachan, Rodney W.; Dijk, Herman K. van - 2010
Persistent link: https://www.econbiz.de/10003974036
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Combining predictive densities using Bayesian filtering with applications to US economics data
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2011
Persistent link: https://www.econbiz.de/10008809881