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Asymptotic and finite sample properties for multivariate rotated GARCH models

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-21

This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK … (2sQML) estimator, this paper shows consistency and asymptotic normality under weak conditions. While second …-order moments are needed for the consistency of the estimated unconditional covariance matrix, the existence of the finite sixth …

Persistent link: https://www.econbiz.de/10012547429

Indirect inference with(out) constraints

Frazier, David T.; Renault, Eric - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 113-159

possibly strict inequality constraints g(β)>0, such as, when I‐I is based on GARCH auxiliary models. In these settings, we …

Persistent link: https://www.econbiz.de/10012202226

Indirect inference estimation of spatial autoregressions

Bao, Yong; Liu, Xiaotian; Yang, Lihong - In: Econometrics : open access journal 8 (2020) 3/34, pp. 1-26

The ordinary least squares (OLS) estimator for spatial autoregressions may be consistent as pointed out by Lee (2002), provided that each spatial unit is influenced aggregately by a significant portion of the total units. This paper presents a unified asymptotic distribution result of the...

Persistent link: https://www.econbiz.de/10012295878

Assessment of economic security of enterprises : theoretical and methodological aspects

Shynkar, Svitlana; Gontar, Zoriana; Dubyna, Mariya; … - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 21 (2020) 1, pp. 261-271

The main objective of the study is to formulate a new approach of assessing economic security for industrial enterprises, indicating a different approach from existing ones, to allow for the very specifics of economic activity, and to allow the use of qualitative and quantitative indicators. We...

Persistent link: https://www.econbiz.de/10012225140

Are you a good borrower? : mining interpretable pattern structures in credit scoring

Kuznecov, Sergej O.; Masyutin, Alexey; Ageev, Aleksandr - In: Asian journal of economics and banking : AJEB 4 (2020) 3, pp. 67-85

Purpose - The purpose of this study is to show that closure-based classification and regression models provide both high accuracy and interpretability. Design/methodology/approach - Pattern structures allow one to approach the knowledge extraction problem in case of partially ordered...

Persistent link: https://www.econbiz.de/10012514905

Macro-financial parameters influencing bitcoin prices : evidence from symmetric and asymmetric ARDL models

Srinivasan, Palamalai; Maity, Bipasha; Kumar, K. Krishna - In: Review of Economic Analysis : REA 14 (2022) 1, pp. 143-175

Bitcoins are evolving as a modern class of investment assets and it is crucial for investors to manage their investment risk. This paper examines the impact of macroeconomic-financial indicators on Bitcoin price using symmetric and asymmetric version of autoregressive distributed lag (ARDL)...

Persistent link: https://www.econbiz.de/10012886489

Corruption, environmental sustainability and economic performance in emerging economies : evidence from Nigeria

Iheanachor, Nkemdilim; Ogbechie, Chris Ike; Ozegbe, … - In: International journal of management, economics and … 12 (2023) 1, pp. 52-78

This study was aimed at examining the linkages between corruption, environmental sustainability, and economic performance. It was motivated by the quest to test the validity of the Environmental Kuznets Curve (EKC) hypothesis in Nigerian. The EKC hypothesis explains the nexus between economic...

Persistent link: https://www.econbiz.de/10013550234

Numerical compliance with EU fiscal rules : facts and figures from a new database

Larch, Martin; Malzubris, Janis; Santacroce, Stefano - In: Intereconomics : review of European economic policy 58 (2023) 1, pp. 32-42

EU fiscal rules are meant to keep public finances on a sustainable path. This paper presents a new database that tracks numerical compliance with the four main rules of the Stability and Growth Pact starting in 1998. Our assessment of numerical compliance abstracts from the many exceptions and...

Persistent link: https://www.econbiz.de/10014233317

Economy and creativity multiparametric clustering : regional comparisons and new perspectives for Ukraine

Slava, Svitlana - In: Region : the journal of ERSA 10 (2023) 1, pp. 159-181

This paper suggests a way to cluster Ukrainian regions by using economy and creativity-related multiparametric sets so as to reveal the main roles of players in cross-regional comparisons. Special attention was paid to an analysis of invaded regions since 2014 and 2022. The methodology is based...

Persistent link: https://www.econbiz.de/10014343101

Health spending efficiency in developing Asia

Bajaro, Donna Faye; Jinjarak, Yothin; Myoda, Yuho; … - 2023

The coronavirus disease (COVID-19) pandemic placed health-care systems around the world under great stress. The sharp increase in demand for health care highlighted the importance of efficient health spending. The negative impact of the pandemic on global economic growth further strengthened the...

Persistent link: https://www.econbiz.de/10014390362