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Spatial market inefficiency in housing market : a spatial quantile regression approach
Chae, Jiyoung; Bera, Anil K. - In: The journal of real estate finance and economics 69 (2024) 1, pp. 70-99
Persistent link: https://www.econbiz.de/10015080934
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Spatial GARCH : A Spatial Approach to Multivariate Volatility Modeling
Borovkova, Svetlana - 2012
This paper introduces a new approach to modelling the conditional variance in a multivariate setting. It is essentially a combination of the popular GARCH model class with a spatial component, inspired by generalized space-time models. The resulting spatial GARCH model takes into account both...
Persistent link: https://www.econbiz.de/10013097898
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Does mixed-frequency investor sentiment impact stock returns? : based on the empirical study of MIDAS regression model
Yang, Chunpeng; Zhang, Rengui - In: Applied economics 46 (2014) 7/9, pp. 966-972
Persistent link: https://www.econbiz.de/10010399534
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The relation between overreaction in forecasts and uncertainty : a nonlinear approach
Leppin, Julian Sebastian - 2014 - This version: November 2014
account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression …
Persistent link: https://www.econbiz.de/10010438928
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Structural compressed panel VAR with stochastic volatility : a robust Bayesian model averaging procedure
Pacifico, Antonio - In: Econometrics : open access journal 10 (2022) 3, pp. 1-24
misspecificity involved in compressed regression models. Methodologically, a multicountry large structural Panel Vector …
Persistent link: https://www.econbiz.de/10013459503
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Spatial dependence, idiosyncratic risk, and the valuation of disaggregated housing data
Simlai, Prodosh - In: The journal of real estate finance and economics 57 (2018) 2, pp. 192-230
Persistent link: https://www.econbiz.de/10012038861
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Government size and trade openness in Sub-Saharan Africa : a quantile panel data analysis
Impawe, Augustin - In: The empirical economics letters : a monthly … 14 (2015) 5, pp. 481-492
Persistent link: https://www.econbiz.de/10011419086
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Threshold effects in the capital asset pricing model using panel smooth transition regression (PSTR) : evidence from net oil export and import groups
Nieh, Chien-chung; Yao, Hsueh-chu - In: Advances in management & applied economics 3 (2013) 2, pp. 179-192
In this study, we used the PSTR (panel smooth transition regression) model to investigate the nonlinear relationship … ; panel smooth transition regression model (PSTR) ; Schwarz's inequality ; triangle inequality …
Persistent link: https://www.econbiz.de/10009718901
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Nonlinear investigation for the impact of oil price volatility on the fundamental analysis
Nieh, Chien-chung; Yao, Hsueh-chu - In: The empirical economics letters : a monthly … 12 (2013) 8, pp. 825-834
Persistent link: https://www.econbiz.de/10010363111
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Investment and uncertainty : are large firms different from small ones?
Panagiōtidēs, Theodōros; Printzis, Panagiotis - In: Journal of economic behavior & organization : JEBO 184 (2021), pp. 302-317
Persistent link: https://www.econbiz.de/10012600855