Search Results - subject:"Time-Varying Parameter Model"

Ellington, Michael; Martin, Christopher Ian; Wang, Bingsong - In: Journal of money, credit and banking : JMCB 56 (2024) 2/3, pp. 613-626

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014544981

The effects of energy prices on oil-gas sectoral stock returns for BRIC countries : evidence from space state models

Helmi, Mohamad Husam; Catik, A. Nazif; Kosedagli, Begum … - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 6, pp. 430-440

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014435145

Inference in a stationary/nonstationary autoregressive time-varying-parameter model

Andrews, Donald W. K.; Li, Ming - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014538994

The tourism industry’s performance during the years of the COVID-19 pandemic

Daglis, Theodoros - In: Computational economics 63 (2024) 3, pp. 1173-1189

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014546357

The time-varying effects of oil prices on oil-gas stock returns of the fragile five countries

Yurteri Kösedağlı, Begüm; Kışla, Gül Huyugüzel; … - In: Financial Innovation 7 (2021) 1, pp. 1-22

This study analyzes oil price exposure of the oil-gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020. The endogenous structural break test suggests the presence of serious parameter...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012602885