Search Results - subject:"Autoregressive"

Macroeconomic real-time forecasts of univariate models with flexible error structures

Trinh, Kelly; Zhang, Bo; Hou, Chenghan - In: Journal of forecasting 44 (2025) 1, pp. 59-78

Persistent link: https://www.econbiz.de/10015373952

The rapid rise of Russia's wheat exports : price formation, spot-futures relations and volatility effects

Heigermoser, Maximilian - Leibniz-Institut für Agrarentwicklung in … - 2023

vector autoregressive (VAR), autoregressive moving average (ARMA) and vector error correction models (VECM), the econometric … Zeitreihenökonometrie und speziell auf Preisanalyse. Unter Verwendung von vector autoregressive (VAR), autoregressive moving average (ARMA …

Persistent link: https://www.econbiz.de/10013534341

An econometric analysis of volatility discovery

Dias, Gustavo Fruet; Papailias, Fotis; Scherrer, Cristina - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1095-1106

Persistent link: https://www.econbiz.de/10015053535

Co-integration with score-driven models : an application to US real GDP growth, US inflation rate, and effective federal funds rate

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - In: Macroeconomic dynamics 27 (2023) 1, pp. 203-223

Persistent link: https://www.econbiz.de/10014247362

Predicting expected idiosyncratic volatility : empirical evidence from ARFIMA, HAR, and EGARCH models

Xiao, Chuxuan; Huang, Winifred; Newton, David P. - In: Review of quantitative finance and accounting 63 (2024) 3, pp. 979-1006

Persistent link: https://www.econbiz.de/10015178466

An adaptive long memory conditional correlation model

Dark, Jonathan - In: Journal of empirical finance 75 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014491877

Estimating and forecasting bitcoin daily prices using ARIMA-GARCH models

Phung Duy Quang; Oanh Nguyen Thi; Phuong Hao Le Thi; … - In: Business analyst journal : BAJ 45 (2024) 1, pp. 11-23

Persistent link: https://www.econbiz.de/10015188090

An IID test for functional time series with applications to high-frequency VIX index data

Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - In: Risks : open access journal 13 (2025) 2, pp. 1-25

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...

Persistent link: https://www.econbiz.de/10015333723

Extreme dependence, connectedness, and causality between US sector stocks and oil shocks

Mensi, Walid; Gök, Remzi; Gemici, Eray; Vo Xuan Vinh; … - In: International review of economics & finance : IREF 98 (2025), pp. 1-26

Persistent link: https://www.econbiz.de/10015333022

Structural volatility impulse response analysis

Fengler, Matthias; Polivka, Jeannine - 2025

Persistent link: https://www.econbiz.de/10015339180