Search Results - subject:"VAR (Vector Autoregression)"

The fluctuation correlation between investor sentiment and stock index using VMD-LSTM : evidence from China stock market

Gao, Zhenbin; Zhang, Jie - In: The North American journal of economics and finance : a … 66 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014483735

Contagion in international stock markets after the subprime mortgage crisis

Kao, Wei-Shun; Kao, Tzu-Chuan; Changchien, Chang-Cheng; … - In: The Chinese economy 51 (2018) 2, pp. 130-153

Persistent link: https://www.econbiz.de/10012026364

Are Real Interest Differentials Caused by Frictions in Goods or Assets Markets, Real or Nominal Shocks?

Ferreira, Alex Luiz - School of Economics, University of Kent - 2004

The variance of real interest rate differentials (rids) is decomposed between ex post deviations from relative purchasing power parity and uncovered interest rate parity (UIRP) for a set of emerging markets from 1995M5 to 2004M3. The results point out to nominal interest rate differentials and...

Persistent link: https://www.econbiz.de/10005181035