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Year of publication
Subject
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Autocorrelation 1,513 Autokorrelation 1,513 Theorie 844 Theory 844 USA 475 United States 475 Time series analysis 472 Zeitreihenanalyse 472 Estimation theory 285 Schätztheorie 285 Estimation 280 Schätzung 280 Forecasting model 172 Prognoseverfahren 172 Capital income 160 Kapitaleinkommen 160 Börsenkurs 147 Share price 147 Einheitswurzeltest 145 Unit root test 145 Räumliche Interaktion 130 Spatial interaction 130 Statistical test 119 Statistischer Test 119 Volatility 112 Volatilität 112 Regional economics 92 Regionalökonomik 92 ARCH model 91 ARCH-Modell 91 Aktienmarkt 80 Stock market 80 Nichtlineare Regression 77 Nonlinear regression 77 Regressionsanalyse 77 Regression analysis 76 Monte Carlo simulation 75 Monte-Carlo-Simulation 75 Heteroscedasticity 71 Heteroskedastizität 71
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Online availability
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Free 399 Undetermined 189
Type of publication
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Article 932 Book / Working Paper 572 Journal 16
Type of publication (narrower categories)
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Article in journal 877 Aufsatz in Zeitschrift 877 Graue Literatur 441 Non-commercial literature 441 Arbeitspapier 427 Working Paper 427 Aufsatz im Buch 53 Book section 53 Hochschulschrift 31 Thesis 29 Collection of articles written by one author 16 Sammlung 16 Monografische Reihe 15 Amtsdruckschrift 8 Government document 8 Conference paper 5 Forschungsbericht 5 Konferenzbeitrag 5 Commentary 4 Kommentar 4 Collection of articles of several authors 3 Sammelwerk 3 Aufsatzsammlung 1 Bibliografie enthalten 1 Bibliography included 1 Conference proceedings 1 Festschrift 1 Interview 1 Konferenzschrift 1 Mikroform 1 Nachschlagewerk 1 Reference book 1 Reprint 1 Systematic review 1 Übersichtsarbeit 1
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Language
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English 1,483 German 17 French 8 Polish 3 Undetermined 3 Spanish 2 Croatian 1 Lithuanian 1 Russian 1 Ukrainian 1
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Author
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Phillips, Peter C. B. 37 Lanne, Markku 20 Sun, Yixiao 15 Franses, Philip Hans 14 Lesage, James P. 14 Saikkonen, Pentti 14 Lee, Lung-fei 13 Teräsvirta, Timo 13 Pesaran, M. Hashem 12 Bec, Frédérique 11 Clements, Michael P. 10 Gouriéroux, Christian 10 Prucha, Ingmar R. 10 Vogelsang, Timothy J. 10 Griffith, Daniel A. 9 Kapetanios, George 9 Kelejian, Harry H. 9 Timmermann, Allan 9 Abadir, Karim Maher 8 Baltagi, Badi H. 8 Dijk, Dick van 8 Kilian, Lutz 8 Koopman, Siem Jan 8 Luoto, Jani 8 Lütkepohl, Helmut 8 McAleer, Michael 8 Nielsen, Bent 8 Shin, Yongcheol 8 Sul, Donggyu 8 Taylor, Robert 8 Anderson, Heather M. 7 Blasques, Francisco 7 Crespo Cuaresma, Jesús 7 Dufour, Jean-Marie 7 Egger, Peter 7 Ravazzolo, Francesco 7 Satchell, Stephen 7 Talmain, Gabriel 7 Bohn Nielsen, Heino 6 Chong, Terence Tai-Leung 6
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Institution
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Ekonomiska forskningsinstitutet <Stockholm> 6 Queen Mary College / Department of Economics 5 European University Institute / Department of Economics 4 London School of Economics and Political Science 3 National Bureau of Economic Research 3 Umeå Universitet / Institutionen för Nationalekonomi 3 Columbia University / Department of Economics 2 Econometrisch Instituut <Rotterdam> 2 Federal Reserve Bank of St. Louis 2 Københavns Universitet / Økonomisk Institut 2 Rodney L. White Center for Financial Research 2 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 2 State University of New York at Albany / Department of Economics 2 Suntory-Toyota International Centre for Economics and Related Disciplines 2 Universitat Pompeu Fabra / Departament d'Economia i Empresa 2 Vilnius University 2 Aarhus Universitet / Afdeling for Nationaløkonomi 1 Asia-Pacific Real Estate Research Symposium <2010, Hongkong> 1 Australia / Local Government and Urban Development 1 Boston College / Department of Economics 1 Center for Economic Research <Tilburg> 1 Centre for Analytical Finance <Århus> 1 Centre for Economic Development and Administration <Katmandu> 1 Centre for Quantitative Economics & Computing 1 Christian-Albrechts-Universität zu Kiel 1 Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften 1 Eesti Pank 1 European Systemic Risk Board 1 European University Institute / Department of Law 1 Groupe d'Analyse et de Théorie Économique Lyon St-Étienne (GATE Lyon St-Étienne), Faculté de Sciences Économiques et de Gestion 1 Großbritannien / Fishery Economics Research Unit 1 HAL 1 Institut für Weltwirtschaft 1 Institut für Wirtschaftswissenschaften <Wien> 1 Institute of Nutrition <Chapel Hill, NC> 1 Institute of Policy Studies of Sri Lanka 1 Lietuvos Bankas 1 Nationaløkonomiske Instituttet <Århus> 1 Norsk Senter for Internasjonal Landbruksutvikling 1 Nuffield College 1
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Published in...
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Journal of econometrics 63 Econometric theory 42 Economics letters 42 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 28 Econometric reviews 24 Journal of forecasting 22 Discussion paper / Tinbergen Institute 21 Cowles Foundation discussion paper 20 The econometrics journal 19 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 16 Economic modelling 16 International journal of forecasting 15 Regional science & urban economics 15 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 14 Journal of regional science 14 CESifo working papers 13 Journal of empirical finance 13 Applied economics 11 Série des documents de travail / Centre de Recherche en Économie et Statistique 11 Applied financial economics 10 Journal of applied econometrics 10 Working paper / National Bureau of Economic Research, Inc. 10 Applied economics letters 9 Discussion papers / Helsinki Center of Economic Research : discussion paper 9 Macroeconomic dynamics 9 Oxford bulletin of economics and statistics 9 SSE EFI working paper series in economics and finance 9 The empirical economics letters : a monthly international journal of economics 9 The journal of real estate finance and economics 9 EUI working paper / ECO 8 Working paper 8 Working paper series / Department of Economics, Queen Mary, University of London 8 Discussion paper / Department of Economics, University of California San Diego 7 Discussion papers / Department of Economics, University of Copenhagen 7 Discussion papers in economics 7 Discussion papers in economics and econometrics 7 Economics bulletin : EB 7 Journal of financial econometrics : official journal of the Society for Financial Econometrics 7 Review of quantitative finance and accounting 7 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 7
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Source
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ECONIS (ZBW) 1,515 RePEc 3 BASE 2
Showing 1 - 50 of 1,520
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A Bayesian time-varying autoregressive model for improved short-term and long-term prediction
Berninger, Christoph; Stöcker, Almond; Rügamer, David - In: Journal of forecasting 41 (2022) 1, pp. 181-200
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Integration of stock markets using autoregressive distributed lag bounds test approach
Patel, Nikunj; Patel, Bhavesh - In: Global business & economics review 26 (2022) 1, pp. 37-64
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State-dependent autoregressive models with p lags : properties, estimation and forecasting
Gobbi, Fabio; Mulinacci, Sabrina - In: Central European journal of economic modelling and … 14 (2022) 1, pp. 81-108
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Asset price dynamics with limited attention
Hendershott, Terrence; Menkveld, Albert J.; Praz, Rémy; … - In: The review of financial studies 35 (2022) 2, pp. 962-1008
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Random autoregressive models : a structured overview
Regis, Marta; Serra, Paulo; Heuvel, Edwin R. van den - In: Econometric reviews 41 (2022) 2, pp. 207-230
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Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
Casini, Alessandro - 2022
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Cross-Autocorrelation, Risk Transmission and Contagion in the Global CDS Markets
Cai, Charlie X.; Hu, May; Ye, Xiaoxia - 2021
We show that the cross-autocorrelation also exists in the global CDS markets and develop an econometric model to capture the global correlation structure. We study implications on the credit risk transmission and contagion risk. We find four main results: (i) credit risk transmission is through...
Persistent link: https://ebtypo.dmz1.zbw/10013232360
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State-Dependent Autoregressive Models : Properties, Estimation and Forecasting
Gobbi, Fabio; Mulinacci, Sabrina - 2021
This paper considers a class of C-convolution-based Markov models in which we assume that the error term is dependent on the first lagged state variable and the dependence structure is modeled by a copula function. Such models appear suitable for studying nonlinearity in time series. We show...
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Joint asymptotic properties of stopping times and sequential estimators for stationary first-order autoregressive models
Hitomi, Kohtaro; Nagai, Keiji; Nishiyama, Yoshihiko; … - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012582399
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Seasonalities in the German stock market
Hofmann, Daniel; Keiber, Karl Ludwig - In: Financial markets and portfolio management 35 (2021) 2, pp. 151-192
Persistent link: https://ebtypo.dmz1.zbw/10012588317
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Predictability of return in Pakistan stock market through the application of the threshold quantile autoregressive models
Rasheed, Muhammad Haroon; Gul, Faid; Hashmi, Aijaz Mustafa - In: Iranian economic review : journal of University of Tehran 25 (2021) 4, pp. 815-828
Persistent link: https://ebtypo.dmz1.zbw/10012806683
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Testing for equal predictive accuracy with strong dependence
Coroneo, Laura; Iacone, Fabrizio - 2021
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Ethnic regional networks and immigrants' earnings: a spatial autoregressive network approach
Wang, Xingang; Maani, Sholeh A. - 2021
The conventional model of immigrant earnings does not account for the correlation of outcomes across immigrant ethnic networks. We apply a spatial autoregressive network approach to account for the spill-over effects of migrant ethnic group economic resources and labour market outcomes. We...
Persistent link: https://ebtypo.dmz1.zbw/10012698921
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Effect of monetary policy on the Nigerian stock market : a smooth transition autoregressive approach
Babangida, Jamilu S.; Khan, Asad ul Islam - In: CBN journal of applied statistics 12 (2021) 1, pp. 1-21
This paper examines the nonlinear effect of monetary policy decisions on the performance of the Nigerian Stock Exchange market, by employing the Smooth Transition Autoregressive (STAR) model on monthly data from 2013 M4 to 2019 M12 for All Share Index and monetary policy instrument. This study...
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Robust inference for diffusion-index forecasts with cross-sectionally dependent data
Kim, Min Seong - 2021
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Spatial patterns of production-distribution-consumption cycle : the specifics of developing Russia
Timiryanova, Venera; Grišin, Konstantin; … - In: Economies : open access journal 8 (2020) 4/87, pp. 1-18
The existing body of academic literature reveals that production, distribution, and consumption might be both consistently connected and geographically scattered. This requires assessing the spatial order of production&ndash;distribution&ndash;consumption cycle, within which exploring of spatial...
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Stock Return Autocorrelations and Expected Option Returns
Jeon, Yoontae - 2020
We present a new finding that the return autocorrelation of underlying stock is an important determinant of expected equity option returns. Using an extended Black-Scholes model incorporating the presence of stock return autocorrelation, we show that expected returns of both call and put options...
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Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations
Pedersen, Thomas Quistgaard - 2020
We analyze an empirically important issue with recursive right-tailed unit root tests for bubblesin asset prices. First, we show that serially correlated innovations, which is a feature thatis present in most financial series used to test for bubbles, can lead to severe size distortionswhen...
Persistent link: https://ebtypo.dmz1.zbw/10012854659
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Dynamic Excess Autocorrelation and Mutual Fund Performance
Dong, Xi - 2020
Positive return correlation signals slowly-diffusing information. Short sell-constrained institutions are mainly informed in their buy trades. Building on these facts, we identify informed investors ex ante by focusing on mutual funds. We propose a measure of the dynamic excess autocorrelation...
Persistent link: https://ebtypo.dmz1.zbw/10012857094
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Consistent Misspecification Testing in Spatial Autoregressive Models
Lee, Jungyoon - 2020
Spatial autoregressive (SAR) and related models offer flexible yet parsimonious ways to model spatial or network interaction. SAR specifications typically rely on a particular parametric functional form and an exogenous choice of the so-called spatial weight matrix with only limited guidance...
Persistent link: https://ebtypo.dmz1.zbw/10012824231
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Nonparametric Inference of Jump Autocorrelation
Kwok, Simon - 2020
Understanding the jump dynamics of market prices is important for asset pricing and risk management. Despite their analytical tractability, parametric models may impose unrealistic restrictions on the temporal dependence structure of jumps. In this paper, we introduce a nonparametric inference...
Persistent link: https://ebtypo.dmz1.zbw/10012824843
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Asian stock markets analysis : the new evidence from time-varying coefficient autoregressive model
Napon Hongsakulvasu; Asama Liammukda - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 9, pp. 95-104
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An introduction to time-varying lag autoregression
Franses, Philip Hans - 2020
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A simple unit root test consistent against any stationary alternative
Bec, Frédérique; Guay, Alain - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012429907
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A stochastic Gordon-Shapiro formula with excess volatility
Kruschwitz, Lutz; Löffler, Andreas - 2020 - Version from May 29, 2020
It is well-known that stock prices fluctuate far more than dividends. Traditional valuation methods are not able to depict this fact. In this paper we incorporate excess volatility into a simple DCF model by considering an autoregressive cash flows process with random coefficients. We show that...
Persistent link: https://ebtypo.dmz1.zbw/10012228345
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Is the effect of the exchange rate on stock prices symmetric or asymmetric? : evidence from Sudan
Mohamed, Omer Ahmed Sayed; Elmahgop, Faiza Omer Mohammed - In: International journal of economics and financial issues … 10 (2020) 2, pp. 209-215
Persistent link: https://ebtypo.dmz1.zbw/10012215152
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Robust tests for white noise and cross-correlation
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2020
Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time series or serial cross-correlation between time series rely on procedures whose validity holds for i.i.d. data. When the series are not i.i.d., the size of correlogram and cumulative Ljung-Box tests...
Persistent link: https://ebtypo.dmz1.zbw/10012243279
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A poisson autoregressive model to understand COVID-19 contagion dynamics
Agosto, Arianna; Giudici, Paolo - In: Risks : open access journal 8 (2020) 3/77, pp. 1-8
We present a statistical model which can be employed to understand the contagion dynamics of the COVID-19, which can heavily impact health, economics and finance. The model is a Poisson autoregression of the daily new observed cases, and can reveal whether contagion has a trend, and where is...
Persistent link: https://ebtypo.dmz1.zbw/10012293246
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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...
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A simple unit root test consistent against any stationary alternative
Bec, Frédérique; Guay, Alain - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012319299
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Understanding persistence
Kelly, Morgan - 2020
A large literature on persistence finds that many modern outcomes strongly reflect characteristics of the same places in the distant past. These studies typically combine unusually high t statistics with severe spatial autocorrelation in residuals, suggesting that some findings may be artefacts...
Persistent link: https://ebtypo.dmz1.zbw/10012285404
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FRED-SD: a real-time database for state-level data with forecasting applications
Bokun, Kathryn O.; Jackson, Laura; Kliesen, Kevin L.; … - 2020
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Economic Forecasting With Autoregressive Methods and Neural Networks
Chen, James Ming - 2020
Neural networks can forecast economic data with accuracy matching that of conventional autoregressive methods such as SARIMA and VAR. This study uses dense, recurrent, convolutional, and convnet/RNN hybrids to conduct time-series analysis of interest rates, consumer and producer prices, and...
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Backtesting for Counterparty Credit Risk with Strong Autocorrelation in Overlapping Data
Kyung, Bumsoo - 2020
In this paper we propose a new methodology to enhance the discriminatory power of backtesting for counterparty credit risk (CCR) by effectively removing strong autocorrelation in overlapping data. It is assessed by the benchmark result of non-overlapping backtesting data with the same number of...
Persistent link: https://ebtypo.dmz1.zbw/10012843833
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Underreaction, Overreaction, and Dynamic Autocorrelation of Stock Returns
Guo, Hongye - 2020
I document that aggregate stock market returns correlate negatively with past returns in the first half of the earnings seasons, and positively in the second half. While these two arms of correlation are individually strong, they cancel with each other, averaging to a weak unconditional...
Persistent link: https://ebtypo.dmz1.zbw/10012846968
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A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics
Agosto, Arianna - 2020
We present a statistical model which can be employed to understand the contagion dynamics of the COVID-19. The model is a Poisson autoregression, and can reveal whether contagion has a trend, and where is each country on that trend. Model results are presented from the observed series of China,...
Persistent link: https://ebtypo.dmz1.zbw/10012839877
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Implementation of MGWR-SAR models for investigating a local particularity of European regional innovation processes
Furková, Andrea - In: Central European journal of operations research 30 (2022) 2, pp. 733-755
Persistent link: https://ebtypo.dmz1.zbw/10013185424
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Is market index autocorrelation attributable to price latency? : evidence from CSI500
Li, Meng; Qiao, Lixin; Sun, Fangfang - In: Applied economics letters 29 (2022) 5, pp. 427-430
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Autoregressive conditional duration models for high frequency financial data : an empirical study on mid cap exchange traded funds
Nunkoo, Houmera Bibi Sabera; Gonpot, Preethee Nunkoo; … - In: Studies in economics and finance 39 (2022) 1, pp. 150-173
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A Moran eigenvector spatial filtering specification of entropy measures
Griffith, Daniel A.; Chun, Yongwan; Hauke, Jan - In: Papers in regional science : the journal of the … 101 (2022) 1, pp. 259-279
Persistent link: https://ebtypo.dmz1.zbw/10012821163
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One-step oracle procedure for semi-parametric spatial autoregressive model and its empirical application to Boston housing price data
Lu, Fang; Yang, Jing; Lu, Xuewen - In: Empirical economics : a quarterly journal of the … 62 (2022) 6, pp. 2645-2671
Persistent link: https://ebtypo.dmz1.zbw/10013197401
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Robust tests for white noise and cross-correlation
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012062428
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Forecasting the realized variance in the presence of intraday periodicity
Dumitru, Ana-Maria H.; Hizmeri, Rodrigo; Izzeldin, Marwan - 2019
This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators. This combined effect adversely affects...
Persistent link: https://ebtypo.dmz1.zbw/10012063222
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What Is the Conditional Autocorrelation on the Stock Market?
Chabi-Yo, Fousseni - 2019
We derive lower and upper bounds on the conditional market autocorrelation index at various investment horizons without using the precise form of the utility function. The bounds are derived in terms of option prices and can be computed at daily frequency for any given horizon. The bounds...
Persistent link: https://ebtypo.dmz1.zbw/10012858982
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The Uniform Validity of Impulse Response Inference in Autoregressions
Inoue, Atsushi - 2019
Existing proofs of the asymptotic validity of conventional methods of impulse response inference based on higher-order autoregressions are pointwise only. In this paper, we establish the uniform asymptotic validity of conventional asymptotic and bootstrap inference about individual impulse...
Persistent link: https://ebtypo.dmz1.zbw/10012893091
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A Bayesian spatial autoregressive logit model with an empirical application to European regional FDI flows
Krisztin, Tamás; Piribauer, Philipp - 2019
In this paper we propose a Bayesian estimation approach for a spatial autoregressive logit specification. Our approach relieson recent advances in Bayesian computing, making use of Pólya-Gamma sampling for Bayesian Markov-chain Monte Carlo algorithms.The proposed specification assumes that the...
Persistent link: https://ebtypo.dmz1.zbw/10012061923
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Conditional variance forecasts for long-term stock returns
Mammen, Enno; Nielsen, Jens Perch; Scholz, Michael; … - In: Risks : open access journal 7 (2019) 4/113, pp. 1-22
In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in excess of different benchmarks, considering the short- and long-term interest rate, the earnings-by-price ratio, and the inflation rate. In particular, we apply in a two-step...
Persistent link: https://ebtypo.dmz1.zbw/10012127861
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Continuously updated indirect inference in heteroskedastic spatial models
Kyriacou, Maria; Phillips, Peter C. B.; Rossi, Francesca - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012131981
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An experiment on autoregressive and threshold autoregressive models with non-gaussian error with application to realized volatility
Zhang, Ziyi; Li, Wai Keung - In: Economies : open access journal 7 (2019) 2/58, pp. 1-11
This article explores the fitting of Autoregressive (AR) and Threshold AR (TAR) models with a non-Gaussian error structure. This is motivated by the problem of finding a possible probabilistic model for the realized volatility. A Gamma random error is proposed to cater for the non-negativity of...
Persistent link: https://ebtypo.dmz1.zbw/10012021585
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On the validity of tests for asymmetry in residual-based threshold cointegration models
Schild, Karl-Heinz; Schweikert, Karsten - In: Econometrics : open access journal 7 (2019) 1/12, pp. 1-13
This paper investigates the properties of tests for asymmetric long-run adjustment which are often applied in empirical studies on asymmetric price transmissions. We show that substantial size distortions are caused by preconditioning the test on finding sufficient evidence for cointegration in...
Persistent link: https://ebtypo.dmz1.zbw/10012025641
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