Search Results - subject:"mixed data sampling"

What drives the volatility of non-fungible tokens (NFTs) : macroeconomic fundamentals or investor attention?

Jiang, Minghan; Xia, Yufei - In: Applied economics letters 31 (2024) 16, pp. 1439-1448

Persistent link: https://www.econbiz.de/10015075407

Asymmetric causality between Bitcoin and tech stocks in the US market using mixed frequency data

Valadkhani, Abbas - In: Journal of economic studies 51 (2024) 3, pp. 569-586

Persistent link: https://www.econbiz.de/10015047980

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

Andreani, Mila; Candila, Vincenzo; Morelli, Giacomo; … - In: Risks 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/10013200808

Does high crude oil dependence influence Chinese military expenditure decision-making?

Wang, Kai-Hua; Su, Chi-Wei - In: Energy strategy reviews 35 (2021), pp. 1-10

This paper employs the mixed frequency vector autoregression (MF-VAR) to discuss the causal link between crude oil dependence and military expenditure in China. The empirical results demonstrate that the crude oil dependence Granger causes military expenditure and accounts for 66.8% of the...

Persistent link: https://www.econbiz.de/10012703320

Dynamic relationship between stock and bond returns: a GAS MIDAS copula approach

Nguyen, Hoang; Javed, Farrukh - 2021

Stock and bond are the two most crucial assets for portfolio allocation and risk management. This study proposes generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between stock returns and bond returns. A GAS MIDAS copula...

Persistent link: https://www.econbiz.de/10012668024

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

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

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

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