Search Results - subject:"structural break"

Long-run transition vs. short-run adjustment : modeling Slovakia's macroprudential policy path

Kupkovič, Patrik - 2026

Persistent link: https://www.econbiz.de/10015627250

Testing mean stationarity of intraday volatility curves

Andersen, Torben; Tan, Yingwen; Todorov, Viktor; Zhang, … - 2025

We develop a test for mean stationarity of latent volatility curves using high-frequency data. To derive the asymptotic test size and power, we establish a functional invariance principle for semimartingales under a strong mixing condition. The power properties are analyzed under alternatives...

Persistent link: https://www.econbiz.de/10015460599

Time-varying shock transmission in non-Gaussian structural vector autoregressions

Lütkepohl, Helmut; Strohsal, Till - 2025

This paper analyzes possibly time-varying shock transmission in structural vector autoregressive (VAR) models when the reduced-form VAR coefficients are time-invariant and the shocks are identified through non-Gaussianity. To check for possible time-variation in the impulse responses, we propose...

Persistent link: https://www.econbiz.de/10015324819

Gauging the impact of digital finance on financial stability in the presence of multiple unknown structural breaks : evidence from developing economies

Okoli, Tochukwu Timothy - 2025

The implications of digital finance for financial stability has come under serious scrutiny since the aftermath of the 2008 global financial crisis (GFC). Empirical evidence on this nexus are somewhat inconsistent and ambiguous. This study therefore attributes this puzzle to multiple structural...

Persistent link: https://www.econbiz.de/10015441255

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Gauging the impact of digital finance on financial stability in the presence of multiple unknown structural breaks: Evidence from developing economies

Okoli, Tochukwu Timothy - 2025

Article

QR.break : an R package for structural breaks in quantile regression

Qu, Zhongjun; Oka, Tatsushi; Messer, Samuel - 2025

Persistent link: https://www.econbiz.de/10015669717

The role of exchange rate on hotelier's pricing decision and business performance : the case of Switzerland, a small open economy

Blengini, Isabella; Heo, Cindy Yoonjoung - 2024

Persistent link: https://www.econbiz.de/10014583698

Is monetary policy a driver of cryptocurrencies? : evidence from a structural break GARCH-MIDAS approach

Alam, Md Samsul; Amendola, Alessandra; Candila, Vincenzo; … - 2024

Data Sampling) through the adoption of the SB-GARCH-MIDAS (Structural Break Mixed Data Sampling) to analyze the daily … USA and South Africa with respect to potential presence of a structural break in the monetary policy, which provided us …

Persistent link: https://www.econbiz.de/10014636395

Impact of the agricultural sector on unemployment, inequality and rural poverty : a panel regression analysis in Indonesian provinces

Suparman, Suparman; Sutomo, Maskuri; Anwar, Chairil; … - 2024

Persistent link: https://www.econbiz.de/10015101695

Assessing the stationarity of per capita electricity consumption : time series analysis in asean countries

Parreño, Samuel John E. - 2024

Persistent link: https://www.econbiz.de/10014495494

A new nonparametric combination forecasting with structural breaks

Cai, Zongwu; Gunawan; Sun, Yuying - 2024

Persistent link: https://www.econbiz.de/10015076828