Search Results - subject:"Multiplicative error"

Quantile regression with log(0) outcomes

Liu, Xin; Kaplan, David M. - 2025

Persistent link: https://www.econbiz.de/10015472248

The impact of WTI futures on Shanghai crude futures : identifying spillover effects on crude oil prices using the multiplicative error model

Forgione, Antonio Fabio; Migliardo, Carlo; Otranto, Edoardo - In: Journal of economic studies 52 (2025) 9, pp. 215-233

Persistent link: https://www.econbiz.de/10015574303

Multivariate AutoRegressive Smooth Liquidity (MARSLiQ)

Hafner, Christian M.; Linton, Oliver; Wang, Linqi - 2025

Persistent link: https://www.econbiz.de/10015651378

Asymmetric volatility spillover between crude oil and other asset markets

Guan, Bo; Mazouz, Khelifa; Xu, Yongdeng - In: Energy economics 130 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014559169

Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets

Xu, Yongdeng; Guan, Bo; Lu, Wenna; Heravi, Saeed M. - In: Energy economics 136 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10015046875

Doubly multiplicative error models with long- and short-run components

Amendola, Adalgiso; Candila, V.; Cipollini, F.; Gallo, … - In: Socio-economic planning sciences : the international … 91 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014528556

The incidence of spillover effects during the unconventional monetary policies era

Lacava, Demetrio; Scaffidi Domianello, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-18

augment the Markov switching Asymmetric Multiplicative Error Model (MS-AMEM) with exogenous variables to measure transmissions …

Persistent link: https://www.econbiz.de/10012587787

Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets

Xu, Yongdeng; Guan, Bo; Lu, Wenna; Heravi, Saeed M. - 2024

This paper introduces a novel model to analyse the impact of macroeconomic shocks on volatility spillovers within key financial markets, such as Stock, Bond, Gold and Crude Oil. By treating macroeconomic variables as external factors to financial market volatility, our study distinguishes...

Persistent link: https://www.econbiz.de/10015149616

Jointly modeling autoregressive conditional mean and variance of non-negative valued time series

Kawakatsu, Hiroyuki - In: Econometrics : open access journal 7 (2019) 4/48, pp. 1-19

series. The motivation is to relax the restriction imposed on the higher order moment dynamics in standard multiplicative … error models driven only by the conditional mean dynamics. The empirical fit of a zero inflated mixture distribution is …

Persistent link: https://www.econbiz.de/10012160740

Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets

Xu, Yongdeng; Guan, Bo; Lu, Wenna; Heravi, Saeed M. - 2024

Persistent link: https://www.econbiz.de/10015193996