Results 31 to 40 of about 291,653 (252)
The Simultaneous Equations Model with Generalized Autoregressive Conditional Heteroskedasticity: The SEM-GARCH Model [PDF]
International Finance Discussion Papers, 1988 In this paper I generalize the standard simultaneous equations model by allowing the innovations of the structural equations to exhibit Generalized Autoregressive Conditional Heteroskedasticity (GARCH). I refer to this new specification as the SEM-GARCH model.
Richard Harmon
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International Journal of Financial Studies, 2021 This study investigated the impact of the introduction of the VN30-Index futures contract on the daily returns anomaly for the Ho Chi Minh Stock Exchange (HOSE).
Loc Dong Truong, H. Swint Friday
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Structural transformation away from agriculture in growing open economies
Agricultural Economics, Volume 54, Issue 1, Page 62-76, January 2023., 2023 Abstract Understanding how and why economies structurally transform away from agriculture as they grow is crucial for developing sensible growth strategies and farm and food policies. Typically, analysts who study this and related structural change issues focus on sectoral shares of gross domestic product (GDP) and employment.
Kym Anderson, Sundar Ponnusamy
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A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter [PDF]
Review of Economics and Statistics, 2011 This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of Stock's (1991) CI that employs the least squares estimator and
Donald W.K. Andrews, Patrik Guggenberger
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Transmission of the 2007–2008 financial crisis in advanced countries of the European Union
Bulletin of Economic Research, Volume 75, Issue 1, Page 40-64, January 2023., 2023 Abstract The aim of this paper is to identify the main factors responsible for the 2007–2008 crisis development and transmission across the 10 developed European Union (EU) countries. In order to achieve this objective, trade and financial linkages, crisis contagion from the United States and EU countries and countries' internal and external economic ...
Kamila Tomczak
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Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity [PDF]
Journal of Time Series Analysis, 2018 A limit theory is developed for mildly explosive autoregressions under stationary (weakly or strongly dependent) conditionally heteroskedastic errors. The conditional variance process is allowed to be stationary, integrable and mixingale, thus encompassing general classes of generalized autoregressive conditional heteroskedasticity‐type or stochastic ...
Arvanitis, Stelios, Magdalinos, Tassos
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ANALISIS EFEK MUSIM HUJAN DAN KEMARAU TERHADAP HARGA BERAS
Jurnal Manajemen Industri dan Logistik, 2018 This study analyzes the effects of the rainy and dry seasons on rice prices. Autoregressive and Moving Average (ARMA) and Autoregressive Conditional Heteroskedasticity / Generalized Autoregressive Conditional Heteroskedasticity (ARCH / GARCH) with a ...
Kumara Jati
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Applications of Long-Memory and Structure Breaks for Carbon Indexes
International Journal of Energy Economics and Policy, 2023 This paper aims to investigatethe long-memory properties of four carbon indexes by utilizing the autoregressive frictionally integrated moving average–fractionally integrated general autoregressive conditional heteroskedasticity models.
Do Thi Van Trang, Jo-Hui Chen
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Are soft commodities markets affected by the Halloween effect?
Agricultural Economics (AGRICECON), 2021 Within the last three decades commodity markets, including soft commodities markets, have become more and more like financial markets. As a result, prices of commodities may exhibit similar patterns or anomalies as those observed in the behaviour of ...
Monika Krawiec, Anna Górska
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Mathematics, 2022 This paper extends the conditional autoregressive range (CARR) model to the multivariate CARR (MCARR) model and further to the two-stage MCARR-return model to model and forecast volatilities, correlations and returns of multiple financial assets.
Shay Kee Tan +2 more
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