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Year of publication
Subject
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Zustandsraummodell 3,933 State space model 3,906 Theorie 1,560 Theory 1,546 Zeitreihenanalyse 1,448 Time series analysis 1,439 Kalman filter 1,138 Schätzung 984 Estimation 958 Prognoseverfahren 718 Forecasting model 709 Schätztheorie 548 Estimation theory 543 Volatility 524 Volatilität 524 Stochastischer Prozess 341 USA 341 Stochastic process 336 United States 332 Bayesian inference 315 Bayes-Statistik 310 Business cycle 301 Konjunktur 300 Kalman Filter 276 Aktienmarkt 253 Stock market 253 Inflation 227 Börsenkurs 225 Share price 224 Monetary policy 222 Monte Carlo simulation 221 Monte-Carlo-Simulation 221 Geldpolitik 217 Capital income 216 Kapitaleinkommen 216 Yield curve 206 Welt 199 World 197 Zinsstruktur 197 Markov chain 190
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Online availability
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Free 2,301 Undetermined 1,288 CC license 106
Type of publication
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Article 2,493 Book / Working Paper 2,438 Other 5
Type of publication (narrower categories)
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Article in journal 2,092 Aufsatz in Zeitschrift 2,092 Working Paper 1,238 Graue Literatur 1,122 Non-commercial literature 1,122 Arbeitspapier 1,074 Aufsatz im Buch 82 Book section 82 Hochschulschrift 79 Thesis 63 Article 28 Collection of articles written by one author 16 Sammlung 16 Conference paper 10 Forschungsbericht 10 Konferenzbeitrag 10 research-article 9 Collection of articles of several authors 7 Sammelwerk 7 Bibliografie enthalten 5 Bibliography included 5 Dissertation u.a. Prüfungsschriften 4 Lehrbuch 4 Amtsdruckschrift 3 Aufsatzsammlung 3 Government document 3 Textbook 3 Amtliche Publikation 2 Conference Paper 2 Konferenzschrift 2 Systematic review 2 Übersichtsarbeit 2 Einführung 1 Research Report 1 Rezension 1 technical-paper 1
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Language
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English 4,290 Undetermined 546 German 33 Spanish 27 French 18 Portuguese 9 Polish 3 Romanian 3 Czech 2 Hungarian 1 Italian 1 Russian 1 Slovak 1 Slovenian 1 Turkish 1
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Author
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Koopman, Siem Jan 199 Tiwari, Aviral Kumar 49 Chan, Joshua 42 Koop, Gary 38 Harvey, Andrew C. 31 Wel, Michel van der 30 Lucas, André 28 Grassi, Stefano 27 Gupta, Rangan 25 Proietti, Tommaso 25 Fiorentini, Gabriele 24 Kapetanios, George 24 Laubach, Thomas 24 Crowley, Patrick M. 23 Dijk, Herman K. van 23 Jungbacker, Borus 23 Schorfheide, Frank 23 Sentana, Enrique 23 Marcellino, Massimiliano 22 Ooms, Marius 22 Zadrozny, Peter A. 22 Hindrayanto, Irma 19 Snyder, Ralph D. 19 Bos, Charles S. 18 Schlicht, Ekkehart 18 Hyndman, Rob J. 17 Ramsey, James B. 17 Schaling, Eric 17 Shephard, Neil G. 17 Soares, Maria Joana 17 Aguiar-Conraria, Luís 16 Casarin, Roberto 16 Chan, Joshua C. C. 16 Coenen, Günter 16 Gallegati, Marco 16 Martin, Gael M. 16 Strachan, Rodney W. 16 Aloui, Chaker 15 Darvas, Zsolt 15 Felipe, Jesus 15
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 32 C.E.P.R. Discussion Papers 20 National Bureau of Economic Research 20 Tinbergen Instituut 20 Tinbergen Institute 15 Society for Computational Economics - SCE 14 European Central Bank 13 EconWPA 12 Econometric Society 11 Department of Economics, Oxford University 8 Université Paris-Dauphine (Paris IX) 8 Deutsche Bundesbank 7 HAL 7 Economics Group, Nuffield College, University of Oxford 6 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 6 Banca d'Italia 5 Banque de France 5 Centro de Estudios Monetarios y Financieros (CEMFI) 5 Department of Econometrics and Business Statistics, Monash Business School 5 School of Economics and Management, University of Aarhus 5 University of Strathclyde / Department of Economics 5 CESifo 4 Center for Financial Studies 4 Départment des sciences administratives, Université du Québec en Outaouais (UQO) 4 European Commission / Statistical Office of the European Communities 4 European University Institute / Department of Economics 4 Faculteit Economie en Bedrijfskunde, Universiteit Gent 4 Faculty of Economics, University of Cambridge 4 Institut für Makroökonomie und Konjunkturforschung (IMK), Hans Böckler Stiftung 4 Magyar Nemzeti Bank (MNB) 4 Matematikai Közgazdaságtan és Gazdaságelemzés, Közgazdaságtudományi Kar 4 Queen Mary College / Department of Economics 4 Tilburg University, Center for Economic Research 4 Université Paris-Dauphine 4 de Nederlandsche Bank 4 Centre for Dynamic Macroeconomic Analysis, University of St. Andrews 3 Centrum voor Economische Studiën, Faculteit Economie en Bedrijfswetenschappen 3 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 3 Departamento de Estadistica, Universidad Carlos III de Madrid 3 Economics Department, Queen's University 3
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Published in...
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Discussion paper / Tinbergen Institute 101 Economic modelling 82 Computational economics 59 International journal of forecasting 58 Journal of econometrics 58 Economics letters 57 Energy economics 53 Journal of forecasting 50 Finance research letters 45 Journal of economic dynamics & control 43 Applied economics letters 38 CAMA working paper series 37 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 37 Applied economics 36 Tinbergen Institute Discussion Papers 35 Working paper / Department of Econometrics and Business Statistics, Monash University 35 Tinbergen Institute Discussion Paper 34 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 32 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 31 International review of economics & finance : IREF 31 Working paper 30 MPRA Paper 29 The North American journal of economics and finance : a journal of financial economics studies 29 ECB Working Paper 25 International review of financial analysis 23 Discussion paper / Centre for Economic Policy Research 22 Journal of applied econometrics 22 Econometric reviews 21 Finance and economics discussion series 21 Working paper series / European Central Bank 21 CEPR Discussion Papers 20 CREATES research paper 20 Working Paper 19 Empirical economics : a quarterly journal of the Institute for Advanced Studies 18 Journal of empirical finance 18 Bank of Finland research discussion papers 17 CAMA Working Paper 17 CESifo working papers 17 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 17 NBER Working Paper 17
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Source
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ECONIS (ZBW) 3,974 RePEc 722 EconStor 195 BASE 14 Other ZBW resources 14 USB Cologne (EcoSocSci) 9 USB Cologne (business full texts) 8
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Showing 1 - 50 of 4,936
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Measuring natural rate of interest in Uzbekistan
Inkhomiddinov, Islomjon - 2025
The natural rate of interest, often interpreted as the equilibrium real interest rate, serves as a critical benchmark for evaluating the stance of monetary policy. This paper investigates the natural rate of interest in Uzbekistan using three econometric approaches: the HLW-type model1 , a...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015194423
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Longer-run equilibrium interest rates : evidence from the United Kingdom
Kaykhusraw, Omar - In: Economica 92 (2025) 366, pp. 457-482
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Econometric issues in the estimation of the natural rate of interest
Buncic, Daniel - In: Economic modelling 132 (2024), pp. 1-18
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Estimating Value at Risk and expected shortfall : a Kalman filter approach
Lecq, Max van der; Van Vuuren, Gary - In: International journal of economics and financial issues … 14 (2024) 1, pp. 1-14
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AffineMortality : an R package for estimation, analysis and projection of affine mortality models
Ungolo, Francesco; Garces, Len Patrick Dominic M.; … - 2023 - [Revision]
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014458564
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Anchoring long-term var forecasts based on survey data and state-space models
Areosa, Marta Baltar Moreira; Gaglianone, Wagner Piazza - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014286118
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Measuring natural rate of interest in Uzbekistan
Inkhomiddinov, Islomjon - 2025
The natural rate of interest, often interpreted as the equilibrium real interest rate, serves as a critical benchmark for evaluating the stance of monetary policy. This paper investigates the natural rate of interest in Uzbekistan using three econometric approaches: the HLW-type model1 , a...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015325435
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Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
Huber, Florian; Kastner, Gregor; Pfarrhofer, Michael - In: Empirical economics : a quarterly journal of the … 68 (2025) 2, pp. 535-553
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Dynamic linkages between economic policy uncertainty and external variables in Latin America : wavelet analysis
Marín-Rodríguez, Nini Johana; González-Ruiz, Juan David - In: Economies : open access journal 13 (2025) 2, pp. 1-28
Wavelet coherence analysis (WCA) examines the dynamic interactions between economic policy uncertainty (EPU) in Brazil, Chile, Colombia, and Mexico and key external variables, using monthly data from 2010 to 2022. The findings reveal the following: (i) medium-term co-movements (4-16 months)...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015210453
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From waves to rates : enhancing inflation forecasts through combinations of frequency-domain models
Verona, Fabio - 2025
This paper addresses the challenge of inflation forecasting by adopting a thick modeling approach that integrates forecasts from time- and frequency-domain models. Frequency-domain models excel at capturing long-term trends while also accounting for short-term fluctuations. Combining these...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015164409
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Unravelling the impact of clean energy on the tourism sector of the stock market : Evidence from quantile granger causality and wavelet coherence analysis
Wang, Yiwei; Sun, Zhaoyang; Feng, Chao; Wu, Ran; Yan, Jiale - In: International review of economics & finance : IREF 98 (2025), pp. 1-14
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015327484
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Quantifying Federal Reserve credibility
Hall, Stephen G.; Tavlas, George S. - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015397784
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Inflation synchronization and shock transmission between the eurozone and the non-euro CEE Economies : a wavelet quantile VAR approach
Alqaralleh, Huthaifa; Canepa, Alessandra; Muchova, Eva - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371761
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Trend inflation and structural shocks
Fu, Bowen; Mendieta-Muñoz, Ivan - 2025
This paper studies the effects of key underlying macroeconomic variables on the trend inflation rate in the USA. To do so, we consider eight structural shocks that incorporate a broad set of information for the US economy and that can be regarded as the main structural determinants of the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195132
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Modelling and forecasting of exchange rate pairs using the Kalman filter
Date, Paresh; Maunthrooa, Janeeta - In: Journal of forecasting 44 (2025) 2, pp. 606-622
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Money growth and inflation : how to account for the differences in empirical results
Mandler, Martin; Scharnagl, Michael - In: Journal of forecasting 44 (2025) 3, pp. 1009-1025
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The implications of non-synchronous trading in G-7 financial markets
Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015337909
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Income distribution and growth in France : a long-run time-frequency analysis
Pietropaoli, Alessandro - 2025
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Simulation smoothing for state space models : an extremum Monte Carlo approach
Moussa, Karim - 2025
This paper introduces a novel approach to simulation smoothing for nonlinear and non-Gaussian state space models. It allows for computing smoothed estimates of the states and nonlinear functions of the states, as well as visualizing the joint smoothing distribution. The approach combines...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015404318
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Measuring and explaining the CDS-bond basis term-structure shape and dynamics
Khanna, Yonas; Lucas, André; Seeger, Norman - 2025 - This version: May 26, 2025
The CDS-bond basis quantifies the difference in risk premia between credit default swap (CDS) and bond markets. It is hard to measure at the individual firm level given substantial missing-value problems (30%-100%) in either or both markets, even for highly liquid blue-chip financial firms. We...
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Simultaneous nowcasting of Netherlands' macroeconomic trends and seasonal patterns based on Fourier analysis
Pijpers, Frank P.; Harlaar, Lucas; Brakel, Jan A. van den; … - 2025
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Constructing a financial conditions index for Zambia
Musonda, Gabriel; Mwananshiku, Christabel; Wakumelo, Mataa - 2025
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short-term forecasting of slovak GDP based on high-frequency data
Lőrincze, Péter - In: Ekonomické rozhl'ady 54 (2025) 2, pp. 132-163
The paper compares two forecasts of Slovak GDP, the first with high-frequency data and the second without them. We utilize the last observation from the economic activity index acting as a short-term GDP forecast. We use data from 2000 to 2024 in weekly frequencies and have 27 variables related...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015418703
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Discovering stars : problems in recovering latent variables from models
Buncic, Daniel; Pagan, Adrian R. - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013478646
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Can the Philippines attain 6.5-8 percent growth during 2023-28? An assessment based on the estimation of the balance-of-payments-constrained growth rate
Felipe, Jesus; Albis, Manuel Leonard - 2024
We expand the standard balance-of-payments-constrained (BOPC) growth rate model in three directions. First, we take into account the separate contributions of exports in goods, exports in services, overseas remittances, and foreign direct investment (FDI) inflows. Second, we use state-space...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014581788
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Dynamic Factor Models and Fractional Integration – With an Application to US Real Economic Activity
Caporale, Guglielmo Maria; Gil-Alana, Luis Alberiko; … - 2024
This paper makes a twofold contribution, First, it develops the dynamic factor model of Barigozzi et al. (2016) by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015175267
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Statistical early warning models with applications
Harlaar, Lucas P.; Commandeur, Jacques Jean François; … - 2024
This paper investigates the feasibility of using earlier provisional data to improve the now- and forecasting accuracy of final and official statistics. We propose the use of a multivariate structural time series model which includes common trends and seasonal components to combine official...
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Path shadowing Monte Carlo
Morel, Rudy; Bouchaud, Jean-Philippe - In: Quantitative finance 24 (2024) 9, pp. 1199-1225
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Detecting rough volatility : a filtering approach
Damian, Camilla; Frey, Rüdiger - In: Quantitative finance 24 (2024) 10, pp. 1493-1508
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015196937
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Modelling dynamic relationships between energy prices and inflation in Euro area using wavelets
Alqaralleh, Huthaifa; Canepa, Alessandra - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015324792
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Futures leads the spot but why not so when market in shocks? : a time-varying price discovery of Indian precious metals
Saini, Chanchal; Sharma, Ishwar - In: Colombo business journal : international journal of … 15 (2024) 1, pp. 1-25
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015210664
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Trend-cycle decomposition and forecasting using Bayesian multivariate unobserved components
Jahan-Parvar, Mohammad R.; Knipp, Charles; Szerszeń, … - 2024
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Missing data substitution for enhanced robust filtering and forecasting in linear state-space models
Dobrev, Dobrislav; Szerszeń, Pawel J. - 2024
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Estimating deposit interest rate pass-through in central and Eastern European countries using wavelet transform and error correction model
Hajnal, Gábor; Hosszú, Zsuzsanna; Ozoróczy, Ákos Attila - 2024
Our study deals with interest rate pass-through for household and corporate deposits in the Central and Eastern European (CEE) region, focusing on the tightening cycle starting in the middle of 2021. This period is of particular interest for interest rate pass-through, as the sharp hikes by...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014500894
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Regulatory competition and cross-fertilization in bank performance in the US banking markets
Tırtıroğlu, Doğan; Günsür, Başak Tanyeri; … - In: Financial markets, institutions & instruments 33 (2024) 4, pp. 411-445
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Climate-related default probabilities
Blanc-Blocquel, Augusto; Ortiz-Gracia, Luis; Sanfelici, … - In: Risks : open access journal 12 (2024) 11, pp. 1-19
Climate risk refers to the risks associated with climate change and has already started to impact various sectors of the economy. In this work, we focus on the impact of physical risk on the probability of default for a firm in the agribusiness sector. The probability of default is estimated...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015137901
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Stochastic default risk estimation evidence from the South African financial market
Alfeus, Mesias; Fitzhenry, Kirsty; Lederer, Alessia - In: Computational economics 64 (2024) 3, pp. 1715-1756
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015143953
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Dynamic factor models and fractional integration : with an application to US real economic activity
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Econometrics : open access journal 12 (2024) 4, pp. 1-13
This paper makes a twofold contribution. First, it develops the dynamic factor model of by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable information on the degree...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015272692
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A Hodrick-Prescott filter with automatically selected jumps
Maranzano, Paolo; Pelagatti, Matteo - 2024
The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014578421
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The performance of OECD's composite leading indicator
Ojo, Mustapha Olalekan; Aguiar-Conraria, Luís; Soares, … - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 2265-2277
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014533409
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014490330
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Herding behaviour towards high order systematic risks and the contagion effect : evidence from BRICS stock markets
Zhang, Yi; Zhou, Long; Liu, Zhidong; Wu, Baoxiu - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-10
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015133602
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Forecasting realized covariances using HAR-type models
Quiroz, Matias; Tafakori, Laleh; Manner, Hans - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015185217
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On the Hamilton-HP filter controversy : evidence from German business cycles
Siemers, Lars - 2024 - This version: 12 December, 2024
James Hamilton put doubt on the quality of the HP filter estimates, and proposed an alternative regression approach to decompose trend and cycle of time series (H filter). We investigate the new H filter in detail and compare it to the HP filter. We apply both to German GDP time series. We find...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015199437
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Covered interest parity: a forecasting approach to estimate the neutral band
Hernández, Juan R. - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015078620
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Analyzing time-frequency connectedness between cryptocurrencies, stock indices, and benchmark crude oils during the COVID-19 pandemic
Ghazani, Majid Mirzaee; Malekshah, Ali Akbar Momeni; … - In: Financial innovation : FIN 10 (2024), pp. 1-28
We used daily return series for three pairs of datasets from the crude oil markets (WTI and Brent), stock indices (the Dow Jones Industrial Average and S&P 500), and benchmark cryptocurrencies (Bitcoin and Ethereum) to examine the connections between various data during the COVID-19 pandemic. We...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372536
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Can the Philippines attain 6.5-8 percent growth during 2023-28? : an assessment based on the estimation of the balance-of-payments-constrained growth rate
Felipe, Jesus; Albis, Manuel Leonard - 2024
We expand the standard balance-of-payments-constrained (BOPC) growth rate model in three directions. First, we take into account the separate contributions of exports in goods, exports in services, overseas remittances, and foreign direct investment (FDI) inflows. Second, we use state-space...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014480233
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Time-frequency comovements between environmental cryptocurrency sentiment and faith-based sectoral stocks
Bossman, Ahmed; Gubareva, Mariya; Agyei, Samuel Kwaku; … - In: International review of economics & finance : IREF 91 (2024), pp. 699-719
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014492252
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Estimating a time-varying distribution-led regime
Carrillo-Maldonado, Paul; Nikiforos, Michalis - In: Structural change and economic dynamics 68 (2024), pp. 163-176
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014495200
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A score-driven filter for causal regression models with time-varying parameters and endogenous regressors
Blasques, Francisco; Stegehuis, Noah - 2024
This paper proposes a score-driven model for filtering time-varying causal parameters through the use of instrumental variables. In the presence of suitable instruments, we show that we can uncover dynamic causal relations between variables, even in the presence of regressor endogeneity which...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014496538
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