Search Results - subject:"forecast error variance decomposition"

Novel evidence from APEC countries on stock market integration and volatility spillover : a Diebold and Yilmaz approach

Kakran, Shubham; Sidhu, Arpit; Bajaj, Parminder Kaur; … - In: Cogent economics & finance 11 (2023) 2, pp. 1-23

The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock markets. The objective is to identify major...

Persistent link: https://www.econbiz.de/10014502815

A new unique impulse response function in linear vector autoregressive models

Shi, Yanlin - In: International review of finance : the official journal … 23 (2023) 2, pp. 460-468

Persistent link: https://www.econbiz.de/10014326311

The impact of financial crisis on MFIs performance in Zimbabwe

Hlupo, Patience; Mukute, Tafadzwa; Chinoda, Tough; … - In: The Journal of Entrepreneurial Finance (JEF) 24 (2022) 2, pp. 1-25

Our study explores the impact financial crisis has on performance of microfinance institutions in Zimbabwe employing the Vector Autoregression using annual time series data from 1990 to 2018. The findings from our study revealed a positive impact of financial crisis on performance of...

Persistent link: https://www.econbiz.de/10013366730

The impact of financial crisis on MFIs performance in Zimbabwe

Hlupo, Patience; Mukute, Tafadzwa; Chinoda, Tough; … - In: Journal of entrepreneurial finance : JEF ; official … 24 (2022) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10013365496

Modelling determinants of inflation in CESEE countries : global vector autoregressive approach

Jakši, Saša - In: Národohospodářský obzor : časopis věnovaný … 22 (2022) 2, pp. 137-169

Persistent link: https://www.econbiz.de/10013270502

Integration or fragmentation : a closer look at euro area financial markets

Feldkircher, Martin; Klieber, Karin - In: Handbook of financial integration, (pp. 443-469). 2024

Persistent link: https://www.econbiz.de/10015078666

Macroeconomic effects of demand and supply shocks in the global oil price on the Vietnamese economy

Thuy Hang Duong - In: International journal of energy sector management 18 (2024) 1, pp. 119-140

Persistent link: https://www.econbiz.de/10014461574

Financial contagion among the GSIBs and regulatory interventions

Lai, Jennifer Te; McNelis, Paul D. - In: Journal of financial stability 72 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10014565243

Testing cointegration between workers' remittances and human capital formation in Sri Lanka

Aslam, Ahamed Lebbe Mohamed; Sivarajasingham, Selliah - In: Journal of economic and administrative sciences 39 (2023) 3, pp. 687-708

Persistent link: https://www.econbiz.de/10014338842

Structural inference in sparse high-dimensional vector autoregressions

Krampe, Jonas; Paparoditis, Efstathios; Trenkler, Carsten - In: Journal of econometrics 234 (2023) 1, pp. 276-300

Persistent link: https://www.econbiz.de/10014364826