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Search: subject:"time-varying Bayesian VAR"
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time-varying Bayesian VAR
5
Commodity derivative
4
Rohstoffderivat
4
VAR model
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wavelets
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Czudaj, Robert
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Czudaj, Robert L.
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach
Czudaj, Robert L.
-
2019
The dynamics between trading volume and volatility for seven agricultural futures markets are examined by drawing on the large literature for equity markets and by allowing for heterogeneity of investors beliefs proxied by open interest. In addition, time-varying effects on the transmission...
Persistent link: https://www.econbiz.de/10012011047
Saved in:
2
Dynamics between trading volume, volatility and open interest in agricultural futures markets : a Bayesian time-varying coefficient approach
Czudaj, Robert L.
-
2019
The dynamics between trading volume and volatility for seven agricultural futures markets are examined by drawing on the large literature for equity markets and by allowing for heterogeneity of investors beliefs proxied by open interest. In addition, time-varying effects on the transmission...
Persistent link: https://www.econbiz.de/10012005795
Saved in:
3
Crude oil futures trading and uncertainty
Czudaj, Robert L.
-
2018
uncertainty shocks, we apply a
time-varying
Bayesian
VAR
approach. Our findings indicate that both measures of uncertainty affect …
Persistent link: https://www.econbiz.de/10011984781
Saved in:
4
Crude oil futures trading and uncertainty
Czudaj, Robert
-
2018
uncertainty shocks, we apply a
time-varying
Bayesian
VAR
approach. Our findings indicate that both measures of uncertainty affect …
Persistent link: https://www.econbiz.de/10011979326
Saved in:
5
The role of uncertainty on agricultural futures markets momentum trading and volatility
Czudaj, Robert
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
3
,
pp. 1-39
Persistent link: https://www.econbiz.de/10012289403
Saved in:
6
Crude oil futures trading and uncertainty
Czudaj, Robert
- In:
Energy economics
80
(
2019
),
pp. 793-811
Persistent link: https://www.econbiz.de/10012173728
Saved in:
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