Narrow search
Showing 1 - 10 of 197
Cover Image
STAR-GARCH models for stock market interactions in the Pacific Basin region, Japan and US
Busetti, Giorgio; Manera, Matteo - 2003
correlation-cointegration techniques. For each country in the Pacific Basin region, we find statistically adequate STAR …
Persistent link: https://www.econbiz.de/10011591386
Cover Image
Binary conditional forecasts
McCracken, Michael W.; McGillicuddy, Joseph; Owyang, … - 2019
While conditional forecasting has become prevalent both in the academic literature and in practice (e.g., bank stress testing, scenario forecasting), its applications typically focus on continuous variables. In this paper, we merge elements from the literature on the construction and...
Persistent link: https://www.econbiz.de/10012137102
Cover Image
Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023
This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models such as Generalized Autoregressive Conditional...
Persistent link: https://www.econbiz.de/10014252427
Cover Image
Estimation of time-varying covariance matrices for large datasets
Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George - 2020
Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...
Persistent link: https://www.econbiz.de/10012316010
Cover Image
Spurious correlation in estimation of the health production function : a note
Akkoyunlu, Sule; Lichtenberg, Frank R.; Siliverstovs, Boriss - 2009
In this paper, we address the issue of spurious correlation in the production of health in a systematic way. Spurious … correlation entails the risk of linking health status to medical (and nonmedical) inputs when no links exist. This note first … presents the bounds testing procedure as a method to detect and avoid spurious correlation. It then applies it to a recent …
Persistent link: https://www.econbiz.de/10003900852
Cover Image
Oil and product price dynamics in international petroleum markets
Lanza, Alessandro; Manera, Matteo; Giovannini, Massimo - 2003
and product price dynamics using cointegration and error correction models. Subsequently we use the error correction …
Persistent link: https://www.econbiz.de/10011592760
Cover Image
Investigating credit transmission mechanism in the Republic of Macedonia : evidence from Vector Error Correction Model
Eliskovski, Milan - 2018
Johansen cointegration technique which is appropriate for empirical testing based on time series. The empirical results suggest …
Persistent link: https://www.econbiz.de/10011852881
Cover Image
Debt and economic growth : does size matter? : evidence from dynamic parametric and static non-parametric approaches
Reyes-Tagle, Gerardo; Muñoz, Jorge - 2023
This paper provides new evidence on the effect of debt on economic growth through two alternative methodological approaches. On the one hand, by using a panel error correction model with a sample of 130 countries between 1980 and 2020, we found evidence of the existence of a range of debt-to-GDP...
Persistent link: https://www.econbiz.de/10014461312
Cover Image
Conditional correlations in the returns on oil companies stock prices and their determinants
Giovannini, Massimo; Grasso, Margherita; Lanza, Alessandro - 2004
cointegration techniques in modelling the conditional mean, as well as multivariate GARCH models for the conditional variances. We … specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model … of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The within …
Persistent link: https://www.econbiz.de/10011603089
Cover Image
Why the linear utility function is a risky choice in discrete-choice experiments
Sennhauser, Michèle - 2010
a non-linear utility function specified according to model specification rules from the econometrics and statistics …
Persistent link: https://www.econbiz.de/10008702182