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Forecasting stock market volatility : an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model

Wu, Xinyu; Han, Yang; Ma, Chaoqun - In: Journal of risk 23 (2021) 6, pp. 1-35

Persistent link: https://www.econbiz.de/10013473133

Forecasting the realized variance of oil-price returns using machine learning : is there a role for U.S. state-level uncertainty?

Çepni, Oğuzhan; Gupta, Rangan; Pienaar, Daniel; … - In: Energy economics 114 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013477404

Covid-19 and stock market volatility : a clustering approach for S&P 500 industry indices

Lúcio, Francisco; Caiado, Jorge - In: Finance research letters 49 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013479311

Are carry, momentum and value still there in currencies?

Hutchinson, Mark; Kyziropoulos, Panagiotis E.; O'Brien, John - In: International review of financial analysis 83 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013455045

Modelling and diagnostics of spatially autocorrelated counts

Jung, Robert; Glaser, Stephanie - In: Econometrics : open access journal 10 (2022) 3, pp. 1-17

This paper proposes a new spatial lag regression model which addresses global spatial autocorrelation arising from cross-sectional dependence between counts. Our approach offers an intuitive interpretation of the spatial correlation parameter as a measurement of the impact of neighbouring...

Persistent link: https://www.econbiz.de/10013459466

Evaluation of interrelatedness of cities in the territorial space of Russia

Manaeva, Inna; Rastvortseva, Svetlana; Kanishcheva, … - In: Journal of economic structures : JES; the official … 11 (2022), pp. 1-18

The purpose of the article is to carry out the analysis of interrelatedness of cities in the territorial space of Russia. The evaluation method is based on the calculation of global and local Moran's indexes for determination of interrelatedness of the adjacent territories by the following...

Persistent link: https://www.econbiz.de/10013459621