Search Results - subject:"mixed data"

Multivariate analysis of energy commodities during the COVID-19 pandemic : evidence from a mixed-frequency approach

Andreani, Mila; Candila, Vincenzo; Morelli, Giacomo; … - In: Risks : open access journal 9 (2021) 8, pp. 1-20

This paper shows the effects of the COVID-19 pandemic on energy markets. We estimate daily volatilities and correlations among energy commodities relying on a mixed-frequency approach that exploits information from the number of weekly deaths related to COVID-19 in the United States. The...

Persistent link: https://www.econbiz.de/10012612379

Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach

Salisu, Afees A.; Gupta, Rangan; Bouri, Elie - In: The quarterly review of economics and finance : journal … 88 (2023), pp. 303-314

Persistent link: https://www.econbiz.de/10014428077

Deep learning on mixed frequency data

Xu, Qifa; Wang, Zezhou; Jiang, Cuixia; Liu, Yezheng - In: Journal of forecasting 42 (2023) 8, pp. 2099-2120

Persistent link: https://www.econbiz.de/10014432851

Global economic uncertainty and the Chinese stock market : assessing the impacts of global indicators

Zhang, Lixia; Bai, Jiancheng; Zhang, Yueyan; Cui, Can - In: Research in international business and finance 65 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014433687

Forecasting VIX with time-varying risk aversion

Wu, Xinyu; He, Qizhi; Xie, Haibin - In: International review of economics & finance : IREF 88 (2023), pp. 458-475

Persistent link: https://www.econbiz.de/10014475366

Which factors affect the sustainability of pension schemes?

Outlioua, Said; Fazouane, Abdesselam - In: Economic affairs : journal of the Institute of Economic … 43 (2023) 1, pp. 89-108

Persistent link: https://www.econbiz.de/10014292041

Economic policy uncertainty, jump dynamics, and oil price volatility

Liu, Feng; Shao, Shuai; Li, Xin; Pan, Na; Qi, Yu - In: Energy economics 120 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014284019

Nowcasting industrial production using linear and non-linear models of electricity demand

Galdi, Giulio; Casarin, Roberto; Ferrario, Davide L.; … - In: Energy economics 126 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014483553

Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility

Wu, Xinyu; Mei, Xueting; Yin, Xuebao - In: Journal of risk : JOR 25 (2023) 5, pp. 71-99

Persistent link: https://www.econbiz.de/10014487116

Threshold mixed data sampling models with a covariate-dependent threshold

Yang, Lixiong; Zhang, Chunli - In: Applied economics letters 30 (2023) 12, pp. 1708-1716

Persistent link: https://www.econbiz.de/10014304954