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Price and volatility transmissions among natural gas, fertilizer, and corn markets : a revisit
Yang, Zhengliang; Du, Xiaoxue; Lu, Liang; Tejeda, Hernan - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-14
In this paper, we revisit price and volatility transmission among natural gas, fertilizer, and corn markets; an important issue was explored in previous work. An update of the results is urgently needed due to the recent enormous price volatility in the commodities, fertilizer, and energy...
Persistent link: https://www.econbiz.de/10012888238
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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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On the performance of wavelet based unit root tests
Eroğlu, Burak Alparslan; Soybilgen, Barış - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-22
In this paper, we apply the wavelet methods in the popular Augmented Dickey-Fuller and M types of unit root tests. Moreover, we provide an extensive comparison of the wavelet based unit root tests which also includes the recent contributions in the literature. Moreover, we derive the asymptotic...
Persistent link: https://www.econbiz.de/10011895637
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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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Nonlinear time series modeling : a unified perspective, algorithm and application
Mukhopadhyay, Subhadeep; Parzen, Emanuel - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-17
A new comprehensive approach to nonlinear time series analysis and modeling is developed in the present paper. We introduce novel data-specific mid-distribution-based Legendre Polynomial (LP)-like nonlinear transformations of the original time series {Y(t)} that enable us to adapt all the...
Persistent link: https://www.econbiz.de/10011895744
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On combining evidence from heteroskedasticity robust panel unit root tests in pooled regressions
Arnold, Martin C.; Hanck, Christoph - In: Journal of risk and financial management : JRFM 12 (2019) 3/117, pp. 1-22
Volatility break robust panel unit root tests (PURTs) recently proposed by Herwartz and Siedenburg (Computational Statistics & Data Analysis 2008, 53, 137-150) and Demetrescu and Hanck (Econometrics Letters 2012, 117, 10-13) have different performances under both the null and local alternatives....
Persistent link: https://www.econbiz.de/10012027060
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True versus spurious long memory in cryptocurrencies
Rambaccussing, Dooruj; Mazibas, Murat - In: Journal of risk and financial management : JRFM 13 (2020) 9/186, pp. 186
We test whether the selected cryptocurrencies exhibit long memory behavior in returns and volatility. We use data on five most traded cryptocurrencies: Bitcoin, Litecoin, Ethereum, Bitcoin Cash, and XRP. Using recent tests of long memory developed against persistent and nonlinear alternatives,...
Persistent link: https://www.econbiz.de/10012386884
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Testing housing markets for episodes of exuberance : evidence from different Polish cities
Sobieraj, Janusz; Metelski, Dominik - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-29
In the study we use the right-tail unit root test to analyse the presence of mild explosive dynamics (exuberance) in housing prices of the 17 largest Polish cities in the period 2006-2021 (for quarterly data). In terms of real prices from the secondary market, we were able to demonstrate the...
Persistent link: https://www.econbiz.de/10012628269
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Mean reversions in major developed stock markets : recent evidence from unit root, spectral and abnormal return studies
Nguyen, James; Li, Wei-Xuan; Chen, Clara Chia Sheng - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-20
We revisited the issue of return predictability in three major developed markets (USA, UK and Japan) using a unique dataset from the Wharton Research Data Services database and a comprehensive set of traditional and recent statistical methods. We specifically employed a variety of traditional...
Persistent link: https://www.econbiz.de/10013272993
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Estimation and inference for the threshold model with hybrid stochastic local unit root regressors
Chen, Chaoyi; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-15
In this paper, we study the estimation and inference of the threshold model with hybrid local stochastic unit root … nonstationary regressors and to obtain its limiting distribution theory. In particular, our proposed model generalizes the threshold … model with unit root, local-to-unity, and stochastic unit root regressors. We provide the estimation strategy for the least …
Persistent link: https://www.econbiz.de/10013273589