Results 91 to 100 of about 27,670 (236)

How the Threat of Knowledge Loss Drives Firms’ R&D Dynamism: A Threat Rigidity Perspective

Journal of Management Studies, EarlyView.
Abstract Drawing on threat rigidity theory, this paper argues that the threat of knowledge loss gives rise to a threat rigidity effect in firms’ R&D function, that is, reduces their R&D dynamism. It further argues that the dampening of R&D dynamism is greater for firms more vulnerable to the threat of knowledge loss due to facing greater product market
Aman Asija, Dimo Ringov
wiley   +1 more source

Analyzing Rupiah-USD Exchange Rate Dynamics: A Study with ARCH and GARCH Models

JOIV: International Journal on Informatics Visualization
The study aims to analyze the volatility of the Rupiah-USD exchange rate and predict future fluctuations using the Autoregressive Conditional Heteroskedasticity (ARCH) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models.
Ansari Saleh Ahmar, Salim Al Idrus, - Asmar   +2 more
doaj   +1 more source

Robust CDF‐Filtering of a Location Parameter

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania, Andrew C. Harvey, Alessandra Luati   +2 more
wiley   +1 more source

Higher-order moment risk spillovers between the carbon and energy markets under climate policy uncertainty

Journal of Management Science and Engineering
Against the backdrop of increasing climate policy uncertainty, preventing cross-market risk contagion in the energy transition is crucial to ensuring energy security and effective risk management.
Zhenhua Liu, Jialong Fu, Xinyang Zhang, Qiang Ji   +3 more
doaj   +1 more source

Czech Stock Market Analysis

Austrian Journal of Statistics, 2016
The analysis of relative returns of selected stocks at Prague Stock Exchange has been performed. As a rule, the kurtosis of the return distribution was greater than that of the standard normal distribution.
Jiří Trešl, Dagmar Blatná
doaj   +1 more source

A General Framework for Observation Driven Time-Varying Parameter Models [PDF]

We propose a new class of observation driven time series models that we refer to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled likelihood score. This provides a unified and consistent framework for
Andre Lucas, Drew Creal, Siem Jan Koopman   +2 more
core  

Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT This article examines the filtering and approximation‐theoretic properties of score‐driven time series models. Under specific Lipschitz‐type and tail conditions, new results are derived, leading to maximal and deviation inequalities for the filtering approximation error using empirical process theory.
Enzo D'Innocenzo
wiley   +1 more source

Asymmetry and Leverage in Conditional Volatility Models

Econometrics, 2014
The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle ...
Michael McAleer
doaj   +1 more source

Return relationships among European equity sectors: A comparative analysis across selected sectors in small and large economies. [PDF]

This paper examines return interrelationships between numbers of equity sectors across several European markets. The markets comprise six Member States of the European Union (EU): namely, Belgium, Finland, France, Germany, Ireland and Italy.
Andrew Worthington, Siv Taing
core  

Conditional variances in UK regional house prices [PDF]

, 2010
The returns of house price indices for the 13 UK regions are modelled using time series processes, including conditional variances. The first conclusion is that the UK follows the USA, with some regions displaying time-varying variances and others with ...
Cameron G., Geoff Willcocks, Holmans A. E., Muellbauer J.   +3 more
core   +2 more sources