Search Results - subject:"Vector Autoregression Model"

Did you mean: subject:"vector autoregressive Model" (7,711 results)

The Impact of the nominal exchange rate

Sejdazov, B. - 2024

Persistent link: https://www.econbiz.de/10015168566

An empirical assessment of consumer demand heterogeneity to household income by regions of Kazakhstan

Samat, Moldir - 2024

Persistent link: https://www.econbiz.de/10014578403

Interplay between oil prices, country risks, and stock returns in the context of global conflict : a PVAR approach

Dong, Qingyuan; Du, Qunyang; Min Du, Anna - In: Research in international business and finance 72 (2024) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10015065748

Effects of information related to the Russia-Ukraine conflict on stock volatility: An EGARCH approach

Gheorghe, Cæatæalin; Panazan, Oana - In: Cogent Economics & Finance 11 (2023) 2, pp. 1-33

models. The relationship between volatility and news regarding the conflict was analyzed through a vector autoregression … model, and associations between variables were examined using the Granger causality test. Findings suggest that some markets …

Persistent link: https://www.econbiz.de/10015074787

Where is IT in information security? : the interrelationship among IT investment, security awareness, and data breaches

Li, Wilson Weixun; Leung, Alvin Chung Man; Yue, Wei Thoo - In: MIS quarterly 47 (2023) 1, pp. 317-342

Persistent link: https://www.econbiz.de/10013556967

Effects of information related to the Russia-Ukraine conflict on stock volatility : an EGARCH approach

Gheorghe, Cătălin; Panazan, Oana - In: Cogent economics & finance 11 (2023) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10014503057

Directional spillover of fossil fuels prices on a hydrothermal power generation market

Oviedo-Gómez, Andrés; Londoño-Hernández, Sandra Milena - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 1, pp. 85-90

Persistent link: https://www.econbiz.de/10014247760

Application of the VAR model in examining the determinants of returns of selected cryptocurrencies

Stanković, Sunčica; Đorđević, Bojan; Milojević, … - In: Bizinfo (Blace) : časopis iz oblasti ekonomije … 14 (2023) 1, pp. 45-52

Persistent link: https://www.econbiz.de/10014634596

Volatility spillover effects in the Moroccan interbank sector before and during the COVID-19 crisis

Beraich, Mohamed; El Main, Salah Eddin - In: Risks : open access journal 10 (2022) 6, pp. 1-20

The objective of this paper is to analyze the volatility spillover effects in the Moroccan interbank sector before and during the COVID-19 pandemic crisis using the DY model. Specifically, this study assesses the impact of the recent COVID-19 outbreak on the transmission of volatility among...

Persistent link: https://www.econbiz.de/10013363027

Volatility spillover effects of the US, European and Chinese financial markets in the context of the Russia-Ukraine conflict

Beraich, Mohamed; Amzile, Karim; Laamire, Jaouad; … - In: International Journal of Financial Studies : open … 10 (2022) 4, pp. 1-18

The present study aims to investigate the volatility spillover effects in the international financial markets before and during the Russia-Ukraine conflict. The subject of this paper is the study of the influence of the recent war between Russia and Ukraine on the transmission of volatility...

Persistent link: https://www.econbiz.de/10013459985