Search Results - subject:"generalized variance"

Assessing the quality of generalized variance functions

Siems, Inken; Münnich, Ralf - In: AStA Wirtschafts- und Sozialstatistisches Archiv 19 (2026) 3-4, pp. 205-221

Generalized variance functions (GVFs) are widely used in official statistics to approximate sampling variances when …

Persistent link: https://www.econbiz.de/10015605042

Crisis-regime dynamic volatility spillovers in U.S. commodity markets : a Bayesian mixture-identified SVAR approach

Deng, Xinyan; Aruga, Kentaka; Tang, Chaofeng - In: Risks : open access journal 14 (2026) 4, pp. 1-32

Conventional VAR-based volatility spillover measures rely on homoskedasticity and single-Gaussian assumptions, limiting their ability to capture structural breaks and heterogeneous shocks during crises. This study develops a flexible framework to analyze volatility transmission in U.S. commodity...

Persistent link: https://www.econbiz.de/10015639153

Precious metals and oil price dynamics

Mohamed, Abdulrazak Nur; Mohamed, Idiris Sid Ali - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 6, pp. 119-128

Persistent link: https://www.econbiz.de/10014430786

Time-varying return correlations and spillovers between bitcoin and traditional assets : the impact of COVID-19 and US monetary policy

Zhang, Licheng; Luo, Shengtao - In: Economic change & restructuring 58 (2025) 3, pp. 1-28

Persistent link: https://www.econbiz.de/10015475140

Bowley solution of a variance game in insurance

Jiang, Wenjun; Liang, Xiaoqing; Young, Virginia R. - In: Scandinavian actuarial journal 2025 (2025) 6, pp. 617-634

Persistent link: https://www.econbiz.de/10015534591

Valuations of generalized variance swaps under the jump-diffusion model with stochastic liquidity risk

Wang, Ke; Guo, Xun-xiang; Zhang, Hong-yu - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-27

Persistent link: https://www.econbiz.de/10014581051

Multilevel time series modelling of antenatal care coverage in Bangladesh at disaggregated administrative levels

Das, Sumonkanti; Brakel, Jan A. van den; Boonstra, Harm Jan - 2021

Persistent link: https://www.econbiz.de/10012595573

Investor sentiment contagion and network connectedness : evidence from China and other international stock markets

Liu, Yandi; Zhang, Jun; Guo, Na; Liu, Jingshan - In: The Manchester School 91 (2023) 6, pp. 587-613

Persistent link: https://www.econbiz.de/10014427574

Analyzing the connectedness between crude oil and petroleum products : evidence from USA

Tiwari, Aviral Kumar; Suleman, Muhammad Tahir; Ullah, Subhan - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 2278-2347

Persistent link: https://www.econbiz.de/10014327520

Comparing in- and out-of-sample approaches to variance decomposition-based estimates of network connectedness an application to the Italian banking system

Ferrario, Andrea; Guidolin, Massimo; Pedio, Manuela - In: Quantitative finance and economics 2 (2018) 3, pp. 661-701

Persistent link: https://www.econbiz.de/10012156828