Results 81 to 90 of about 4,998 (266)
On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors, [PDF]
This paper considers adaptive estimation in nonstationary autoregressive moving average models with the noise sequence satisfying a generalised autoregressive conditional heteroscedastic process.
Michael McAleer, Shiqing Ling
core
A unified approach to the study of sums, products, time-aggregation and other functions of ARMA processes [PDF]
, 1984 Conditions under which sums, products and time-aggregation of ARMA processes follow ARMA models are derived from a single theorem. This characterizes these processes in terms of difference equations satisfied by their autocovariance function.
Engel Goetz, Eduardo
core +1 more source
Another Look at the (Ir)Relevance of Long‐Run Risks for Equity Risk Premia
Journal of Money, Credit and Banking, EarlyView.Abstract I investigate the empirical asset pricing implications of a three‐factor macro model that extends the baseline consumption model Consumption Capital Asset Pricing Model (CCAPM) by adding the innovations in expected long‐run consumption growth (consumption growth news) and expected long‐run consumption variance (variance news) as risk factors ...
PAULO MAIO
wiley +1 more source
Ratio MathematicaThe study investigates the existence of long-run equilibrium or mean-reversion using bivariate analysis of paired prices, as well as to test for linear and nonlinear threshold-type mean-reversion of bivariate relationships. The coefficient parameters of (
Emmanuel deGraft Johnson Owusu Ansah +3 more
doaj +1 more source
phtt: Panel Data Analysis with Heterogeneous Time Trends in R
Journal of Statistical Software, 2014 The R package phtt provides estimation procedures for panel data with large dimensions n, T, and general forms of unobservable heterogeneous effects.
Oualid Bada, Dominik Liebl
doaj +1 more source
EU ETS Market Expectations and Rational Bubbles
Journal of Money, Credit and Banking, EarlyView.Abstract The European Union Emissions Trading System (EU ETS) experienced sharp allowance price increases from 2018 onward, prompting claims that rational bubbles were driving the surge. We reassess this hypothesis using expectations based on futures prices.
CHRISTOPH WEGENER +2 more
wiley +1 more source
Journal of Management Studies, EarlyView.Abstract Humanity – the virtue enabling meaningful human connection – is vital to the leadership we need to survive our polycrisis context. As a prerequisite to sustainable human community, the virtue of humanity is considered universal. It has been claimed as a ‘higher‐order virtue’, comprised of and enacted by – but irreducible to – a suite of ‘lower‐
Toby Newstead +3 more
wiley +1 more source
The Cross and Conflict: How Do Christians Impact Protest Dynamics?
Journal for the Scientific Study of Religion, EarlyView.ABSTRACT This study examines the relationship between Christian actors, practices, and sacred sites in US protests and demonstrations, focusing on how political ideology shapes conflict outcomes. Using event‐level data from the Armed Conflict Location & Event Data Project (ACLED), the analysis explores 63,000 protest events from 2020 to 2024 ...
Joel Day
wiley +1 more source
Revista Colombiana de Estadística, 2008 La función de correlación cruzada muestral (FCCM) ha sido empleada para estudiar la fortaleza y la dirección de la relación lineal entre dos procesos estocásticos conjuntamente estacionarios.
ELKIN CASTAÑO, JORGE MARTÍNEZ
doaj
Patterns and centralisation in Ethereum-based token transaction networks
Frontiers in PhysicsWe explore patterns, regularities, and correlations in the evolving landscape of Ethereum-based tokens, both ERC-20 (fungible) and ERC-721 (non-fungible) to understand the factors contributing to the rise in certain tokens over others.
Francesco Maria De Collibus +10 more
doaj +1 more source