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Do precious metal prices help in forecasting South African inflation?
Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - In: The North American journal of economics and finance : a … 40 (2017), pp. 63-72
Persistent link: https://www.econbiz.de/10011878788
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Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty
Clements, Michael P.; Galvão, Ana Beatriz C. - In: Journal of applied econometrics 38 (2023) 2, pp. 164-185
Persistent link: https://www.econbiz.de/10014287961
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Forecasting in the presence of structural breaks and model uncertainty
Rapach, David E. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003731593
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Bayesian analysis of latent threshold dynamic models
Nakajima, Jouchi; West, Mike - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 151-164
Persistent link: https://www.econbiz.de/10009754013
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The volatility connectedness between oil and stocks : evidence from the G7 markets
BenMabrouk, Houda - In: Financial Market Dynamics after COVID 19 : The …, (pp. 67-99). 2022
Persistent link: https://www.econbiz.de/10013198542
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Granger-causal analysis of GARCH models : a Bayesian approach
Woźniak, Tomasz - 2015
Persistent link: https://www.econbiz.de/10011339305
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Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets
Funke, Michael; Loermann, Julius; Tsang, Andrew - 2020
We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to several shocks between January 2012 and December 2019....
Persistent link: https://www.econbiz.de/10012294928
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Predicting international equity returns: evidence from time-varying parameter vector autoregressive models
Gupta, Rangan; Huber, Florian; Piribauer, Philipp - In: International review of financial analysis 68 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012300967
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Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions
Chan, Jennifer So-Kuen; Kok Haur Ng; Ragell, Rachel - In: International review of economics & finance : IREF 61 (2019), pp. 188-212
Persistent link: https://www.econbiz.de/10012205409
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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