Search Results - subject:"time series modelling"

Hybrid ARDL-MIDAS-Transformer time-series regressions for multi-topic crypto market sentiment driven by price and technology factors

Chalkiadakis, Ioannis; Peters, Gareth; Ames, Matthew - In: Digital finance : smart data analytics, investment … 5 (2023) 2, pp. 295-365

Persistent link: https://www.econbiz.de/10014369259

Bayesian nonlinear expectation for time series modelling and its application to Bitcoin

Siu, Tak Kuen - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 505-537

Persistent link: https://www.econbiz.de/10014226298

A structural time series analysis of the effect of quantitative easing on stock prices

Tawadros, George B.; Moosa, Imad A. - In: International Journal of Financial Studies : open … 10 (2022) 4, pp. 1-17

In this paper, a structural time series model is estimated to analyse the effect of quantitative easing (QE) on stock prices for the US, UK and Japan. The model is estimated by maximum likelihood in a time-varying parametric framework, using the DJIA, S&P500, NASDAQ, FTSE100 and the NIKKEI225 as...

Persistent link: https://www.econbiz.de/10013465339

Symmetrical cointegrating relationship between money supply, interest rates, consumer price index, terroristic disruptions, and Karachi stock exchange: Does global financial crisis matter?

Sheikh, Umaid A.; Asad, Muzaffar; Israr, Aqeel; Tabash, … - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-24

The study is intended to investigate the symmetrical relationship between macroeconomic variability and KSE-100 indexes by employing the ARDL model with bound testing procedure and error correction model. Authors have also examined whether the linkages between macroeconomic variability and...

Persistent link: https://www.econbiz.de/10014001421

Automatic time series modeling and forecasting: a replication case study of forecasting real GDP, the unemployment rate and the impact of leading economic indicators

Guerard, John Baynard; Thomakos, Dimitrios D.; Kyriazi, … - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-20

We test and report on time series modelling and forecasting using several US. Leading economic indicators (LEI) as an … are more statistically significant using more recently developed time series modelling techniques and software. In this …

Persistent link: https://www.econbiz.de/10012657604