Search Results - subject:"leads and lags"

Emerging market debt and the COVID-19 pandemic : a time-frequency analysis of spreads and total returns dynamics

Gubareva, Mariya; Umar, Zaghum - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 112-126

Persistent link: https://www.econbiz.de/10014248114

Assessing the impact of media sentiment on the returns of sukuks during the Covid-19 crisis

Umar, Zaghum; Gubareva, Mariya; Sokolova, Tatiana V. - In: Applied economics 55 (2023) 12, pp. 1371-1387

Persistent link: https://www.econbiz.de/10013554905

Decoupling between the energy and semiconductor sectors during the pandemic : new evidence from wavelet analysis

Gubareva, Mariya; Umar, Zaghum; Teplova, Tamara V.; … - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 6, pp. 1707-1719

Persistent link: https://www.econbiz.de/10014289784

Penalized leads-and-lags cointegrating regression : a simulation study and two empirical applications

Neto, David - In: Empirical economics : a quarterly journal of the … 65 (2023) 2, pp. 949-971

Persistent link: https://www.econbiz.de/10014329094

Faith-based investments and the Covid-19 pandemic : analyzing equity volatility and media coverage time-frequency relations

Umar, Zaghum; Gubareva, Mariya - In: Pacific-Basin finance journal 67 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013258158

The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times

Mykland, Per A.; Zhang, Lan; Chen, Dachuan - In: Journal of econometrics 208 (2019) 1, pp. 101-119

Persistent link: https://www.econbiz.de/10012139798

Time-varying leads and lags across frequencies using a continuous wavelet transform approach

Funashima, Yoshito - In: Economic modelling 60 (2017), pp. 24-28

Persistent link: https://www.econbiz.de/10011734164

Model Selection Criteria for the Leads-and-Lags Cointegrating Regression

Choi, In; Kurozumi, Eiji - Center for Research on Contemporary Economic Systems, … - 2008

Akaike (1978) and Schwarz (1978) are derived for the leads-and-lags cointegrating regression. Deriving model selection … criteria for the leads-and-lags regression is a nontrivial task since the true model is of infinite dimension. This paper … justifies using the conventional formulas of those model selection criteria for the leads-and-lags cointegrating regression. The …

Persistent link: https://www.econbiz.de/10004990969

Model Selection Criteria for the Leads-and-Lags Cointegrating Regression

Choi, In; Kurozumi, Eiji - Institute of Economic Research, Hitotsubashi University - 2008

Persistent link: https://www.econbiz.de/10005650694

Model selection criteria for the leads-and-lags cointegrating regression

Choi, In; Kurozumi, Eiji - In: Journal of Econometrics 169 (2012) 2, pp. 224-238

Persistent link: https://www.econbiz.de/10010664691