Similar Search Results

Co-movements in commodity prices : global, sectoral and commodity-specific factors

Yin, Libo; Han, Liyan - In: Economics letters 126 (2015), pp. 96-100

Persistent link: https://www.econbiz.de/10011376427

Density prediction of stock index returns using GARCH models : frequentist or Bayesian estimation?

Hoogerheide, Lennart F.; Ardia, David; Corré, Nienke - In: Economics letters 116 (2012) 3, pp. 322-325

Persistent link: https://www.econbiz.de/10009674398

The relation between the corporate bond-yield spread and the real economy : stable or time-varying?

Karlsson, Sune; Österholm, Pär - In: Economics letters 186 (2020), pp. 1-3

Persistent link: https://www.econbiz.de/10012503617

Identification of business cycles and the Great Moderation in the post-war U.S. economy

Jiang, Yu - In: Economics letters 190 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012228144

Uncertainty and energy-sector equity returns in Iran : a Bayesian and quasi-monte Carlo time-varying analysis

Fazelabdolabadi, Babak - In: Financial innovation : FIN 5 (2019) 12, pp. 1-20

This study investigates whether the implied crude oil volatility and the historical OPEC price volatility can impact the return to and volatility of the energy-sector equity indices in Iran. The analysis specifically considers the refining, drilling, and petrochemical equity sectors of the...

Persistent link: https://www.econbiz.de/10012266585

Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility

Dimitrakopoulos, Stefanos - In: Economics letters 150 (2017), pp. 10-14

Persistent link: https://www.econbiz.de/10011761750

Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

Baba, Boubekeur; Sevil, Güven - In: Financial innovation : FIN 7 (2021), pp. 1-25

This study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a news-based measure of economic uncertainty along with the model of time-varying parameter vector autoregression with...

Persistent link: https://www.econbiz.de/10012594935

Computationally efficient inference in large Bayesian mixed frequency VARs

Gefang, Deborah; Koop, Gary; Poon, Aubrey - In: Economics letters 191 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012508486

GARCH models for daily stock returns : impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts

Ardia, David; Hoogerheide, Lennart F. - In: Economics letters 123 (2014) 2, pp. 187-190

Persistent link: https://www.econbiz.de/10010400299

High and variable inflation : further evidence on the Friedman hypothesis

Caporale, Tony - In: Economics letters 54 (1997) 1, pp. 65-68

Persistent link: https://www.econbiz.de/10001222334