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Bayesian Analysis of Realized Matrix-Exponential GARCH Models
Asai, Manabu; McAleer, Michael - 2018
realized measure of co-volatility matrix simultaneously. The paper also considers an alternative multivariate asymmetric … function to develop news impact curves. We consider Bayesian MCMC estimation to allow non-normal posterior distributions. For … three US financial assets, we compare the realized MEGARCH models with existing multivariate GARCH class models. The …
Persistent link: https://www.econbiz.de/10011819520
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Does the healthcare educational market respond to short-run local demand?
Dillender, Marcus; Friedson, Andrew; Simon, Kosali - 2019
The Patient Protection and Affordable Care Act (ACA) increased demand for healthcare across the U.S., but it is unclear if or how the supply side has responded to meet this demand. In this paper, we take advantage of plausibly exogenous geographical heterogeneity in the ACA in order to examine...
Persistent link: https://www.econbiz.de/10012389740
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Unemployment dynamics: An unobserved components approach
Rünstler, Gerhard - 1998
The study uses a bivariate unobserved components model for output and the unemployment rate in order to examine stylised facts of the cyclical behaviour of unemployment and to estimate the size of persistence. The model is applied to the U.S., Canada, and major European economies. Estimates of...
Persistent link: https://www.econbiz.de/10010291757
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Cross hedging stock sector risk with index futures by considering the global equity systematic risk
Hsu, Wen-Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies 6 (2018) 2, pp. 1-17
This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A state-dependent volatility spillover...
Persistent link: https://www.econbiz.de/10011996114
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Univariate and multivariate GARCH models applied to Bitcoin futures option pricing
Venter, Pierre J.; Maré, E. - In: Journal of Risk and Financial Management 14 (2021) 6, pp. 1-14
are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin …
Persistent link: https://www.econbiz.de/10012611818
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Interactions between stock prices and exchange rates: An application of multivariate VAR-GARCH model
Manasseh, Charles O.; Chukwu, Ndubuisi O.; Abada, Felicia C. - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-19
The study examined stock prices (SP) and exchange rate (ER) interactions with multivariate VAR-GARCH model using …
Persistent link: https://www.econbiz.de/10014001620
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Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test
Demetrescu, Matei; Leppin, Julian Sebastian; Reitz, Stefan - 2017
(Panel) Smooth Transition Regressions substantially gained in popularity due to their flexibility in modeling regression coefficients as homogeneous or heterogeneous functions of transition variables. In the estimation process, however, researchers typically face a trade-off in the sense that a...
Persistent link: https://www.econbiz.de/10011750362
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Sibling configurations, educational aspiration and attainment
Bu, Feifei - 2014
, and the importance of these aspirations on later attainment. Second, it employs multilevel modelling techniques, using …
Persistent link: https://www.econbiz.de/10010335655
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Does community context have important bearings on the divorce rate? A fixed-effects study of twenty Norwegian first-marriage cohorts
Lyngstad, Torkild H. - 2006
Decisions to divorce could be affected by a number of characteristics of the local community. Community characteristics may be barriers to divorce (e.g. strong social control) or increase the attractiveness of divorcing (e.g. through access to a good remarriage market), but our knowledge of such...
Persistent link: https://www.econbiz.de/10010352590
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Entrepreneurship Capital: A Regional, Organizational, Team, and Individual Phenomenon
Audretsch, David B.; Monsen, Erik - 2007
demonstrate that researchers at different level of analysis are in fact modeling the same underlying multi-level concept …
Persistent link: https://www.econbiz.de/10010270587