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On cointegration and cryptocurrency dynamics
Keilbar, Georg; Zhang, Yanfen - In: Digital Finance 3 (2021) 1, pp. 1-23
the role of cointegration relationships within a large system of cryptocurrencies in a vector error correction model (VECM … for a varying systemwide cointegration exposure. Our results show that cryptocurrencies are indeed cointegrated with a …This paper aims to model the joint dynamics of cryptocurrencies in a nonstationary setting. In particular, we analyze …
Persistent link: https://www.econbiz.de/10014501321
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On cointegration and cryptocurrency dynamics
Keilbar, Georg; Zhang, Yanfen - In: Digital finance : smart data analytics, investment … 3 (2021) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10012543482
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Tail Risk Network Effects in the Cryptocurrency Market during the COVID-19 Crisis
Ren, Rui; Althof, Michael; Härdle, Wolfgang Karl - 2020
Cryptocurrencies are gaining momentum in investor attention, are about to become a new asset class, and may provide a … between the cryptocurrencies not only for risk management but also for portfolio optimization. The tail risk network analysis …
Persistent link: https://www.econbiz.de/10012433272
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Modelowanie systemów skointegrowanych : aspekty teoretyczne
Majsterek, Michał - In: Bank i kredyt 45 (2014) 5, pp. 433-466
Persistent link: https://www.econbiz.de/10010442043
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Nonparametric Regression Estimation for Multivariate Null Recurrent Processes
Cai, Biqing; Tjøstheim, Dag - In: Econometrics 3 (2015) 2, pp. 265-288
This paper discusses nonparametric kernel regression with the regressor being a \(d\)-dimensional \(\beta\)-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate \(\sqrt{n(T)h^{d}}\), where \(n(T)\) is...
Persistent link: https://www.econbiz.de/10011254954
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The Impact of Foreign Direct Investment on Economic Growth : A Case Study of Ireland
Kim, Kyuntae; Bang, Hokyung - East Asian Bureau of Economic Research (EABER) - 2008
cointegration, which is more appropriate for estimating small sample studies. The data span for the study is from 1975 to 2006. The …
Persistent link: https://www.econbiz.de/10009363557
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Current Account and Comsumption-Smoothing in Ecuador Through Co-Integration Relations (In Spanish)
Velastegui-Martinez, Luis A. - 2010
The report analyzes the relation between private consumption and the current account, regarding it as the external savings of economy. The study is carried out through of an inter-temporal current account model, which is derived from the Permanent Income Theory. This approach, according to the...
Persistent link: https://www.econbiz.de/10014189986
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Dynamic Factor Models, Cointegration and Error Correction Mechanisms
Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo - European Centre for Advanced Research in Economics and … - 2014
Persistent link: https://www.econbiz.de/10010826340
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Impact of COVID-19 on volatility of BSE Sensex stock index
Bhullar, Pritpal Singh; Gupta, Pradeep Kumar; … - In: International journal of electronic finance : IJEF 11 (2022) 2, pp. 175-187
Persistent link: https://www.econbiz.de/10013253673
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The drivers of Bitcoin trading volume in selected emerging countries
Bouraoui, Taoufik - In: The quarterly review of economics and finance : journal … 76 (2020), pp. 218-229
Persistent link: https://www.econbiz.de/10012417586