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  • Search: subject:"Threshold auto-regression"
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Year of publication
Subject
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bounce-back effects 4 business cycles 4 inventory investment 4 Threshold auto-regression 3 Estimation 2 Schätzung 2 Theorie 2 Theory 2 Time series analysis 2 Zeitreihenanalyse 2 Aktienindex 1 Aktienmarkt 1 Ansteckungseffekt 1 Autocorrelation 1 Autokorrelation 1 Bridge models 1 Contagion effect 1 Deutschland 1 Efficient market hypothesis 1 Effizienzmarkthypothese 1 Estimation theory 1 Exchange rate 1 Factor models.Threshold auto-regression 1 Financial market 1 Finanzmarkt 1 GDP forecasting 1 Germany 1 International financial market 1 Internationaler Finanzmarkt 1 Japan 1 Jump Contagion 1 Market integration 1 Markov chain 1 Markov process 1 Markov-Kette 1 Reduced-form Vector Autoregression (VAR) 1 Regression analysis 1 Regressionsanalyse 1 Renminbi 1 Russian regions 1
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Online availability
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Free 6 Undetermined 2
Type of publication
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Article 4 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3
Language
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Undetermined 4 English 3 Russian 1
Author
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Bessec, Marie 2 Ahmed, Muhammad Farid 1 Antipa, P. 1 Barhoumi, K. 1 Bec, F. 1 Bec, Frederique 1 Bec, Frédérique 1 Bessec, M. 1 Brunhes-Lesage, V. 1 Darné, O. 1 Gluschenko, Konstantin 1 Kshatriya, Saranya 1 Prasanna, Krishna 1 Rahaman, Abdul Rashid Abdul 1 Satchell, Stephen 1 Yao, Hongxing 1
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Institution
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Banque de France 2 Université Paris-Dauphine (Paris IX) 1
Published in...
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Working papers / Banque de France 2 Applied Econometrics 1 Cambridge working papers in economics 1 Cambridge-INET working papers 1 Economics Bulletin 1 Economics Papers from University Paris Dauphine 1 International journal of economics and finance 1 The North American journal of economics and finance : a journal of financial economics studies 1
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Source
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RePEc 5 ECONIS (ZBW) 3
Showing 1 - 8 of 8
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Some dynamic and steady-state properties of threshold autoregressions with applications to stationarity and local explosivity
Ahmed, Muhammad Farid; Satchell, Stephen - 2019 - This version: February 21, 2019
Persistent link: https://www.econbiz.de/10012698700
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Jump Interdependencies : stochastic linkages among international stock markets
Kshatriya, Saranya; Prasanna, Krishna - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012822184
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Inventory Investment Dynamics and Recoveries: A Comparison of Manufacturing and Retail Trade Sectors
Bec, Frédérique; Bessec, Marie - Université Paris-Dauphine (Paris IX) - 2013
This paper explores the existence of a bounce-back effect in inventory investment using the European Commission opinion survey on stocks of finished products in manufacturing and retail trade sectors for France, Germany and a European aggregate, from 1985q1 to 2011q4. Our empirical findings...
Persistent link: https://www.econbiz.de/10010861597
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Inventory Investment Dynamics and Recoveries: A Comparison of Manufacturing and Retail Trade Sectors
Bec, Frederique; Bessec, Marie - In: Economics Bulletin 33 (2013) 3, pp. 2209-2222
This paper explores the existence of a bounce-back effect in inventory investment using the European Commission opinion survey on stocks of finished products in manufacturing and retail trade sectors for France, Germany and a European aggregate, from 1985q1 to 2011q4. Our empirical findings...
Persistent link: https://www.econbiz.de/10010691435
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Efficient market hypothesis and the RMB-Dollar rates : a nonlinear modeling of the exchange rate
Yao, Hongxing; Rahaman, Abdul Rashid Abdul - In: International journal of economics and finance 10 (2018) 2, pp. 150-160
Persistent link: https://www.econbiz.de/10011816422
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Inventory Investment Dynamics and Recoveries: A Comparison of Manufacturing and Retail Trade Sectors.
Bec, F.; Bessec, M. - Banque de France - 2012
This paper explores the existence of a bounce-back effect in inventory investment using the European Commission opinion survey on stocks of finished products in manufacturing and retail trade sectors. The data are quarterly balance for France, Germany and a European aggregate, from 1985q1 to...
Persistent link: https://www.econbiz.de/10010816020
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Nowcasting German GDP: A comparison of bridge and factor models.
Antipa, P.; Barhoumi, K.; Brunhes-Lesage, V.; Darné, O. - Banque de France - 2012
Governments and central banks need to have an accurate and timely assessment of Gross Domestic Product's (GDP) growth rate for the current quarter, as this is essential for providing a reliable and early analysis of the current economic situation. This paper presents a series of models conceived...
Persistent link: https://www.econbiz.de/10010583706
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The Law of One Price in the Russian Economic Space
Gluschenko, Konstantin - In: Applied Econometrics 17 (2010) 1, pp. 3-19
Taking the law of one price as a test for market integration, the spatial structure of Russia’s market integration is analyzed with the use of time series of consumer goods prices across Russian regions. An effort is made to explain the pattern obtained, identifying forces responsible for...
Persistent link: https://www.econbiz.de/10009018556
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