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  • Search: subject_exact:"Autocorrelation"
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Year of publication
Subject
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Autocorrelation 2,562 Autokorrelation 2,464 Theorie 942 Theory 940 Estimation theory 725 Schätztheorie 725 Zeitreihenanalyse 700 Time series analysis 698 Estimation 486 Schätzung 486 autocorrelation 306 Prognoseverfahren 302 Forecasting model 301 Räumliche Interaktion 281 Spatial interaction 281 Börsenkurs 236 Capital income 234 Kapitaleinkommen 234 Share price 234 Regional economics 230 Regionalökonomik 230 United States 217 USA 216 Statistischer Test 208 Statistical test 205 Volatility 194 Volatilität 189 Einheitswurzeltest 185 Unit root test 185 Regression analysis 162 Regressionsanalyse 162 ARCH model 142 ARCH-Modell 142 Nichtlineare Regression 142 Nonlinear regression 142 equation 136 statistics 136 Method of moments 130 Momentenmethode 130 Panel 129
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Online availability
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Free 1,094 Undetermined 591
Type of publication
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Article 1,610 Book / Working Paper 1,257
Type of publication (narrower categories)
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Article in journal 1,421 Aufsatz in Zeitschrift 1,421 Graue Literatur 582 Non-commercial literature 582 Working Paper 578 Arbeitspapier 570 Aufsatz im Buch 72 Book section 72 Hochschulschrift 36 Thesis 32 Conference paper 19 Konferenzbeitrag 19 Collection of articles written by one author 16 Sammlung 16 Article 7 Amtsdruckschrift 5 Collection of articles of several authors 5 Dissertation u.a. Prüfungsschriften 5 Forschungsbericht 5 Government document 5 Sammelwerk 5 Konferenzschrift 3 Bibliografie enthalten 2 Bibliography included 2 Conference Paper 2 Conference proceedings 2 Aufsatzsammlung 1 Festschrift 1 Mikroform 1 Nachschlagewerk 1 Reference book 1 Reprint 1 Rezension 1 Systematic review 1 Übersichtsarbeit 1
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Language
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English 2,593 Undetermined 231 German 24 French 12 Polish 3 Spanish 2 Croatian 1 Russian 1 Ukrainian 1
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Author
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Phillips, Peter C. B. 52 Lee, Lung-fei 38 Sun, Yixiao 32 Teräsvirta, Timo 29 Lanne, Markku 22 Saikkonen, Pentti 18 Baltagi, Badi H. 17 Koopman, Siem Jan 17 Griffith, Daniel A. 16 Lesage, James P. 16 Prucha, Ingmar R. 16 Blasques, Francisco 15 Kelejian, Harry H. 15 Franses, Philip Hans 14 Rahbek, Anders 14 Robinson, Peter M. 14 Kapetanios, George 13 Pesaran, M. Hashem 13 Ravazzolo, Francesco 13 Dufour, Jean-Marie 12 Jin, Fei 12 Medeiros, Marcelo C. 12 Pitarakis, Jean-Yves 12 Timmermann, Allan 12 Bec, Frédérique 11 Cavaliere, Giuseppe 11 Gouriéroux, Christian 11 Krämer, Walter 11 Rossi, Francesca 11 Vogelsang, Timothy J. 11 Wang, Hansheng 11 Andrews, Donald W. K. 10 Clements, Michael P. 10 Dijk, Dick van 10 Lieberman, Offer 10 Lucas, André 10 Lütkepohl, Helmut 10 McAleer, Michael 10 Shin, Yongcheol 10 Sul, Donggyu 10
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Institution
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International Monetary Fund (IMF) 146 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 12 National Bureau of Economic Research 11 International Monetary Fund 10 Ekonomiska forskningsinstitutet <Stockholm> 8 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 7 Queen Mary College / Department of Economics 5 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 4 European University Institute / Department of Economics 4 Department of Econometrics and Business Statistics, Monash Business School 3 Département de Sciences Économiques, Université de Montréal 3 EconWPA 3 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 3 HAL 3 Laboratoire d'Économie de Dijon (LEDI), Université de Bourgogne 3 London School of Economics and Political Science 3 Umeå Universitet / Institutionen för Nationalekonomi 3 University of Maryland, Department of Economics 3 Agricultural and Applied Economics Association - AAEA 2 Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) 2 Columbia University / Department of Economics 2 Department of Economics, Brigham Young University 2 Department of Economics, University of California-San Diego (UCSD) 2 Econometrisch Instituut <Rotterdam> 2 Economic Research Institute, College of Business and Economics 2 Escola de Pós-Graduação em Economia <Rio de Janeiro> 2 Federal Reserve Bank of St. Louis 2 Institute of Business and Economic Research (IBER), Walter A. Haas School of Business 2 Københavns Universitet / Økonomisk Institut 2 Regional Research Institute (RRI), West Virginia University 2 Rodney L. White Center for Financial Research 2 Santa Fe Institute 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 University of California, San Diego / Department of Economics 2 Aarhus Universitet / Afdeling for Nationaløkonomi 1 Asia-Pacific Real Estate Research Symposium <2010, Hongkong> 1 Asia-Pacific Real Estate Research Symposium <2011, Adelaide> 1 Berkeley Electronic Press 1
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Published in...
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IMF Working Papers 140 Journal of econometrics 129 Economics letters 76 Econometric theory 61 Econometric reviews 48 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 43 Discussion paper / Tinbergen Institute 32 Applied economics letters 31 Regional science & urban economics 31 The econometrics journal 30 Cowles Foundation discussion paper 26 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 26 Journal of forecasting 25 Applied economics 22 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 21 International journal of forecasting 21 Economic modelling 20 Journal of empirical finance 20 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 18 CESifo working papers 16 CREATES research paper 15 Journal of regional science 15 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 15 The journal of real estate finance and economics 14 Energy economics 13 European journal of operational research : EJOR 13 Econometrics : open access journal 12 MPRA Paper 12 Working paper 12 Journal of applied econometrics 11 Oxford bulletin of economics and statistics 11 SSE EFI working paper series in economics and finance 11 Spatial economic analysis : the journal of the Regional Studies Association 11 Série des documents de travail / Centre de Recherche en Économie et Statistique 11 The European journal of finance 11 Applied financial economics 10 Cowles Foundation Discussion Paper 10 Discussion papers in economics and econometrics 10 NBER Working Paper 10 Physica A: Statistical Mechanics and its Applications 10
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Source
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ECONIS (ZBW) 2,489 RePEc 343 EconStor 17 BASE 7 USB Cologne (EcoSocSci) 7 USB Cologne (business full texts) 3 ArchiDok 1
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Showing 1 - 50 of 2,867
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ARFURIMA models: simulations of their properties and application
Jibrin, Sanusi Alhaji; Rahman, Rosmanjawati Abdul - In: Statistics in transition : an international journal of … 23 (2022) 2, pp. 69-87
This article defines the Autoregressive Fractional Unit Root Integrated Moving Average (ARFURIMA) model for modelling ILM time series with fractional difference value in the interval of 1൏𝑑൏2. The performance of the ARFURIMA model is examined through a Monte Carlo simulation. Also, some...
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COVID-19 pandemic and Romanian stock market volatility : a GARCH approach
Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29
This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...
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A semi-nonparametric copula model for earnings mobility
Naguib, Costanza; Gagliardini, Patrick - 2023
In this paper we develop a novel semi-nonparametric panel copula model with external covariates for the study of wage rank dynamics. We focus on nonlinear dependence between the current and lagged worker's ranks in the wage residuals distribution, conditionally on individual characteristics. We...
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Cryptocurrencies and long-range trends
Alexiadou, Monica; Sofianos, Emmanouil; Gkonkas, Periklēs - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-17
In this study we investigate possible long-range trends in the cryptocurrency market. We employed the Hurst exponent in a sample covering the period from 1 January 2016 to 26 March 2021. We calculated the Hurst exponent in three non-overlapping consecutive windows and in the whole sample. Using...
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ARFURIMA models: simulations of their properties and application
Jibrin, Sanusi Alhaji; Rahman, Rosmanjawati Abdul - In: Statistics in Transition new series (SiTns) 23 (2022) 2, pp. 69-87
This article defines the Autoregressive Fractional Unit Root Integrated Moving Average (ARFURIMA) model for modelling ILM time series with fractional difference value in the interval of 1&#x0d4f;&#x1d451;&#x0d4f;2. The performance of the ARFURIMA model is examined through a Monte Carlo simulation. Also, some...
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Dynamic mixture vector autoregressions with score-driven weights
Gretener, Alexander Georges; Neuenkirch, Matthias; … - 2022
We propose a novel dynamic mixture vector autoregressive (VAR) model in which timevarying mixture weights are driven by the predictive likelihood score. Intuitively, the state weight of the k-th component VAR model in the subsequent period is increased if the current observation is more likely...
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The dynamic relationship between investor attention and stock market volatility : international evidence
Ben El Hadj Said, Imene; Slim, Skander - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-25
This paper investigates the role of investor attention in forecasting realized volatility for fourteen international stock markets, by means of Google Trends data, over the sample period January 2004 through November 2021. We devise an augmented Empirical Similarity model that combines three...
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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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Mean-structure and autocorrelation consistent covariance matrix estimation
Chan, Kin Wai - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 201-215
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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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Stock returns predictability with unstable predictors
Calonaci, Fabio; Kapetanios, George; Price, Simon - 2022
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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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A new test on asset return predictability with structural breaks
Cai, Zongwu; Chang, Seong Yeon - 2022
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Inflation expectations investigation using Markov regime-switching autoregression
Lukianenko, Iryna; Nasachenko, Mariia; Tokarchuk, Taras - In: Montenegrin journal of economics 18 (2022) 1, pp. 19-29
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The spatial spillover effects of fiscal expenditures and household characteristics on household consumption spending : evidence from Taiwan
Huang, Hao-Chen; Yuan, Chen-Lin; Liao, Ting-Hsiu - In: Economies : open access journal 10 (2022) 9, pp. 1-16
The main purpose of this study is to explore the determinants of average household consumption spending in counties and cities from the two aspects of government fiscal expenditure and household characteristics. A spatial econometric model, the spatial Durbin model, was used to analyze...
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Dynamic autoregressive liquidity (DArLiQ)
Hafner, Christian M.; Linton, Oliver; Wang, Linqi - 2022
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Do consumption-based asset pricing models explain own-history predictability in stock market returns?
Ashby, Michael F.; Linton, Oliver - 2022
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Inference in a similarity-based spatial autoregressive model
Lieberman, Offer; Rossi, Francesca - 2022
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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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Gender implicit bias and glass ceiling effects
Espinosa, María Paz; Ferreira, Eva - In: Journal of applied economics 25 (2022) 1, pp. 37-57
Implicit gender bias may affect hiring and promotion decisions, implying inefficiencies in the outcome of selection processes. We focus on the dynamics of gender bias when selecting candidates for a committee or position, and obtain the long-run female share as well as the conditions for a glass...
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Do local fiscal expenditures promote the growth of profit-seeking enterprise numbers in neighboring areas?
Huang, Hao-Chen; Liu, Hsin-Hung; Peng, Chi-Lu; Liao, … - In: Economies : open access journal 10 (2022) 2, pp. 1-18
In order to allocate resources and formulate policies effectively, governments and enterprises often need accurate geographical information on profit-seeking enterprises. This study explores the impact of local fiscal expenditure and environmental regulation on the number of profit-seeking...
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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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GMM estimation of spatial autoregressive models with cluster dependent errors
Sato, Takaki - 2022
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Do trade flows interact in space? : spatial origin-destination modeling of gravity
Luo, Shali; Choi, Seung-Whan - In: International trade, politics and development 6 (2022) 2, pp. 46-60
Purpose This study proposes spatial origin-destination threshold Tobit to address spatial interdependence among bilateral trade flows while accounting for zero trade volumes. Design/methodology/approach This model is designed to capture multiple forms of spatial autocorrelation embedded in...
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Modelling and diagnostics of spatially autocorrelated counts
Jung, Robert; Glaser, Stephanie - In: Econometrics : open access journal 10 (2022) 3, pp. 1-17
This paper proposes a new spatial lag regression model which addresses global spatial autocorrelation arising from cross-sectional dependence between counts. Our approach offers an intuitive interpretation of the spatial correlation parameter as a measurement of the impact of neighbouring...
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On robust inference in time series regression
Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - 2022
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Uniform and distribution-free inference with general autoregressive processes
Magdalinos, Tassos; Petrova, Katerina - 2022
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Uniform and distribution-free inference with general autoregressive processes
Magdalinos, Tassos; Petrova, Katerina - 2022
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A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo; Izzeldin, Marwan; Nolte, Ingmar; … - In: Quantitative finance 22 (2022) 8, pp. 1513-1534
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Testing for co-explosive behaviour in financial time series
Evripidou, Andria C.; Harvey, David I.; Leybourne, … - In: Oxford bulletin of economics and statistics 84 (2022) 3, pp. 624-650
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We modeled long memory with just one lag!
Bauwens, Luc; Chevillon, Guillaume; Laurent, Sébastien - 2022
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Spatial analysis of climate effect on agriculture : evidence from smallholder farmers in Côte d'Ivoire
Ochou, Fabrice Esse; Outtara, Pierre Dignakouho - 2022
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A comparison of multistep commodity price forecasts using direct and iterated smooth transition autoregressive methods
Ubilava, David - In: Agricultural economics : the journal of the … 53 (2022) 5, pp. 687-701
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Response of Ethiopian coffee price to the world coffee price : evidence from dynamic ARDL simulations and nonlinear ARDL cointegration
Hundie, Shemelis Kebede; Biratu, Bane - In: Cogent economics & finance 10 (2022) 1, pp. 1-27
World coffee prices may have crucial implications on domestic prices of coffee. However, empirical evidence on the effect of world coffee prices on the price of coffee traded at the Ethiopian Commodity Exchange (ECX) is very scant. The main objective of this study is to analyze the response of...
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Inference in Mildly Explosive Autoregressions under Unconditional Heteroskedasticity
Yu, Xuewen; Kejriwal, Mohitosh - 2022
Mildly explosive autoregressions have been extensively employed in recent theoretical and applied econometric work to model the phenomenon of asset market bubbles. An important issue in this context concerns the construction of confidence intervals for the autoregressive parameter that...
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Nonparametric quantile autoregressions
Ejara, Demissew Diro; Boynton, Wentworth; Lu, Xinyi - 2022
We provide nonparametric quantile regressions to test for autocorrelation patterns for weekly and monthly stock returns. We test in four developed markets (North America, Europe, Japan, and Asia without Japan) and five market-size portfolios. We find greater heteroskedasticity for the...
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Estimation of Spatial Autoregressive Models for Origin-Destination Flows : A Partial Likelihood Approach
JEONG, HANBAT; Lee, Lung-Fei; Lin, Yanli - 2022
We extend LeSage and Pace's (2008) spatial autoregressive model for origin-destination flows by accommodating two-way fixed effects. Those fixed effects represent unobserved characteristics of origin and destination units. A partial likelihood approach is used to remove fixed effects in the...
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A Proposal of Two-step Autoregressive Model
Nguyen, Loc - 2022
Autoregressive (AR) model and conditional autoregressive (CAR) model are specific regressive models in which independent variables and dependent variable imply the same object. They are powerful statistical tools to predict values based on correlation of time domain and space domain, which are...
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Dynamic Autoregressive Liquidity (DArLiQ)
Hafner, Christian; Linton, Oliver B.; Wang, Linqi - 2022
We introduce a new class of semiparametric dynamic autoregressive models for the Amihud illiquidity measure, which captures both the long-run trend in the illiquidity series with a nonparametric component and the short-run dynamics with an autoregressive component. We develop a GMM estimator...
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Optimal Turnover, Liquidity, and Autocorrelation
Ritter, Gordon; Baldacci, Bastien; Benveniste, Elie - 2022
The steady-state turnover of a trading strategy is of clear interest to practitioners and portfolio managers, as is the steady-state Sharpe ratio. In this article, we show that in a convenient Gaussian process model, the steady-state turnover can be computed explicitly, and obeys a clear...
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Conditional Threshold Autoregression (CoTAR)
Motegi, Kaiji; Dennis, Jay; Hamori, Shigeyuki - 2022
We propose a new time series model where the threshold is specified as an empirical quantile of recent observations of a threshold variable. The resulting conditional threshold traces the fluctuation of the threshold variable, which can enhance the fit and interpretation of the model. In the...
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A spatio-temporal autoregressive model for monitoring and predicting COVID infection rates
Congdon, Peter - In: Journal of geographical systems : geographical … 24 (2022) 4, pp. 583-610
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Changing Expected Returns Can Induce Spurious Components in Autocorrelations
Pukthuanthong, Kuntara; Roll, Richard; Subrahmanyam, … - 2022
Movements in expected returns (ER) can cause a bias in measured autocorrelations, and the resulting spurious component is positive for infrequent regime shifts. We demonstrate this point analytically and investigate its empirical prevalence. In a key contribution, we use shifts in ex ante ER...
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Evaluation of interrelatedness of cities in the territorial space of Russia
Manaeva, Inna; Rastvortseva, Svetlana; Kanishcheva, … - In: Journal of economic structures : JES; the official … 11 (2022), pp. 1-18
The purpose of the article is to carry out the analysis of interrelatedness of cities in the territorial space of Russia. The evaluation method is based on the calculation of global and local Moran's indexes for determination of interrelatedness of the adjacent territories by the following...
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Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models
Casini, Alessandro - 2022
The literature on heteroskedasticity and autocorrelation robust (HAR) inference is extensive but its usefulness relies on stationarity of the relevant process, say Vt, usually a function of the data and estimated model residuals. Yet, a large body of work shows widespread evidence of various...
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Herding in the Chinese Renewable Energy Market : Evidence from a Bootstrapping Time-varying Coefficient Autoregressive Model
Ren, Boru; Lucey, Brian M. - 2022
In this paper, we examine the herding behaviour of the Chinese renewable energy sector using both static and time-varying coefficient models. Examining daily data from January 05, 2015 to April 29, 2022, we find strong evidence of herding behaviour changing over time in this market. We find that...
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Predicting Momentum
Ma, Siyuan - 2022
This paper examines to what extent the momentum spread ratio (MSR) can predict momentum profits. The momentum spread ratio as a potential proxy of investor underreaction can significantly predict the momentum, industry momentum, and residual momentum, especially after 1994, suggesting that...
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Construction of an SDE model from intraday copper futures prices
Mastroeni, Loretta; Vellucci, Pierluigi - In: Risks : open access journal 10 (2022) 11, pp. 1-21
This paper introduces a model for intraday copper futures prices based on a stochastic differential equation (SDE). In particular, we derive an SDE that fits the model to the data and that is based on the whitening filter approach, a method characterizing linear time-variant systems. This method...
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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...
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Adaptive market hypothesis : evidence from the Vietnamese stock market
Phan Tran Trung Dzung; Hung Pham Quang - In: Journal of risk and financial management : JRFM 12 (2019) 2/81, pp. 1-16
This paper aims to test the adaptive market hypothesis in the two main Vietnamese stock exchanges, namely Ho Chi Minh City Stock Exchange (HSX) and Hanoi Stock Exchange (HNX), by measuring the relationship between current stock returns and historical stock returns. In particular, the tests...
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