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Formula I(1) and I(2): Race tracks for likelihood maximization algorithms of I(1) and I(2) cointegrated VAR models

Doornik, Jurgen A.; Mosconi, Rocco; Paruolo, Paolo - In: Econometrics 5 (2017) 4, pp. 1-30

This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...

Persistent link: https://www.econbiz.de/10011995197

Improving Value-at-Risk estimation from the normal EGARCH model

Gorji, Mahsa; Sajjad, Rasoul - In: Contemporary Economics 11 (2017) 1, pp. 91-106

-correction step to improve Value-at-Risk (VaR) forecasting ability of the n-EGARCH (normal EGARCH) model and correct the VaR for both … to accurate for the tendency of the model tomiscalculate the VaR. Empirical results indicate that the bias …-correction method can improve the n-GARCH and n-EGARCH VaR forecasts so much that the acquired VaR predictions are different from the …

Persistent link: https://www.econbiz.de/10011659907

How do parliamentary elections affect stock market volatility? Example from the Republic of Macedonia

Trajkovska, Aleksandra - In: Journal of Contemporary Economic and Business Issues 5 (2018) 2, pp. 53-62

The main aim of this research is to examine the effect that political elections have on stock prices on the Macedonian Stock Exchange Index MBI 10. Our paper strains to imply the existence of problems due to political uncertainties of the efficient market hypothesis. The methodology used for the...

Persistent link: https://www.econbiz.de/10011984759

Cryptocurrency returns before and after the introduction of Bitcoin futures

Deniz, Pinar; Stengos, Thanasēs - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-21

This paper examines the behaviour of Bitcoin returns and those of several other cryptocurrencies in the pre and post period of the introduction of the Bitcoin futures market. We use the principal component-guided sparse regression (PC-LASSO) model to analyze several sample sizes for the pre and...

Persistent link: https://www.econbiz.de/10012611345

Selection criteria in regime switching conditional volatility models

Chuffart, Thomas - In: Econometrics 3 (2015) 2, pp. 289-316

A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is crucial to any statistical data analysis. In this article, we investigate whether the most commonly used selection criteria lead to choice of the right specification in a...

Persistent link: https://www.econbiz.de/10011755282

Exploring How Macroeconomic Factors Affect REITs and Evaluating Its Downside Risk – Empirical Evidence From China and the US

Hu, Xiaoyu - In: Junior Management Science (JUMS) 7 (2022) 4, pp. 874-898

questions have been answered using the literature review methodology. The VAR model is constructed to evaluate the relation … between the REIT market and macroeconomic factors. Ultimately, downside risk of REIT market is assessed by the GARCH(1,1)-VaR …

Persistent link: https://www.econbiz.de/10014528919

Learning Causal Relations in Multivariate Time Series Data

Chen, Pu; Chihying, Hsiao - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-11, pp. 1-43

Bayesian networks. A TSCM can be seen as a structural VAR identified by the causal relations among the variables. We classify … variables based on their observed time series data. It is shown that while an unconstrained VAR model does not imply any causal …

Persistent link: https://www.econbiz.de/10010295294

Evaluating New Keynesian Phillips Curve under VAR-Based Learning

Fanelli, Luca - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-33, pp. 1-24

Vector Autoregressive (VAR) model, whose coefficients are updated by maximum likelihood estimation as the information set … imposes on the VAR coefficients are computed and compared with a proper set of critical values, which take the sequential …

Persistent link: https://www.econbiz.de/10010298617

Economists, incentives, judgment, and the European CVAR approach to macroeconometrics

Colander, David C. - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-9, pp. 1-21

This paper argues that the DSGE approach to macroeconometrics is the dominant approach because it meets the institutional needs of the replicator dynamics of the profession, not because it is necessarily the best way to do macroeconometrics. It further argues that this 'DSGE theory-first'...

Persistent link: https://www.econbiz.de/10010298628

Determinants of industrial output in Syria

Mohsen, Adel; Chua, Soo Yean - In: Journal of Economic Structures 4 (2015), pp. 1-12

This study attempts to investigate the determinants of industrial output in Syria over the period 1980 - 2010. The ADF unit root test, Johansen cointegration test, Granger causality test, impulse response functions, variance decomposition analysis, and stability tests are used in this study. The...

Persistent link: https://www.econbiz.de/10011552030