Search Results - subject:"Error Variance Decomposition"

High frequency price change spillovers in bitcoin markets

Giudici, Paolo; Pagnottoni, Paolo - In: Risks 7 (2019) 4, pp. 1-18

The study of connectedness is key to assess spillover effects and identify lead-lag relationships among market exchanges trading the same asset. By means of an extension of Diebold and Yilmaz (2012) econometric connectedness measures, we examined the relationships of five major Bitcoin exchange...

Persistent link: https://www.econbiz.de/10013200529

Estimation of favar models for incomplete data with a Kalman Filter for factors with observable components

Ramsauer, Franz; Min, Aleksey; Lingauer, Michael - In: Econometrics 7 (2019) 3, pp. 1-43

This article extends the Factor-Augmented Vector Autoregression Model (FAVAR) to mixed-frequency and incomplete panel data. Within the scope of a fully parametric two-step approach, the alternating application of two expectation-maximization algorithms jointly estimates model parameters and...

Persistent link: https://www.econbiz.de/10012696246

News shocks : different effects in boom and recession?

Bolboaca, Maria; Fischer, Sarah - 2019 - This version: February, 2019

forecast error variance decomposition. We compute generalized impulse response functions that allow for regime transition and …

Persistent link: https://www.econbiz.de/10011967392

High frequency price change spillovers in bitcoin markets

Giudici, Paolo; Pagnottoni, Paolo - In: Risks : open access journal 7 (2019) 4/111, pp. 1-18

Persistent link: https://www.econbiz.de/10012127873

Estimation of favar models for incomplete data with a Kalman Filter for factors with observable components

Ramsauer, Franz; Min, Aleksey; Lingauer, Michael - In: Econometrics : open access journal 7 (2019) 3/31, pp. 1-43

Persistent link: https://www.econbiz.de/10012161533

Investor sentiment metrics and stock market returns : a study of the causality relationship using VAR models

Ben Aissia, Dorsaf; Neffati, Nizar - In: American journal of finance and accounting 7 (2022) 2, pp. 90-124

Persistent link: https://www.econbiz.de/10014434368

Coordination of monetary and fiscal policies for growth with price stability in a post-COVID-19 Indian economy

Arora, Nitin; Monga, Shubham; Sharma, Dilpreet - In: Economic papers 41 (2022) 3, pp. 247-259

Persistent link: https://www.econbiz.de/10013387334

Spillover effects in Chinese carbon, energy and financial markets

Cao, Guangxi; Xie, Fei; Ling, Meijun - In: International finance : the only journal bridging the … 25 (2022) 3, pp. 416-434

Persistent link: https://www.econbiz.de/10013472800

Impact of macroeconomic variables on commodity indices in India : an application of ARDL model

Garg, Sonia; Narwal, Karam Pal - In: International journal of management concepts and … 15 (2022) 1, pp. 57-79

Persistent link: https://www.econbiz.de/10013093065

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