Results 41 to 50 of about 291,653 (252)
A review of Phillips‐type right‐tailed unit root bubble detection tests
Journal of Economic Surveys, Volume 37, Issue 1, Page 141-158, February 2023., 2023 Abstract Recent developments on the right‐tailed unit root tests of Phillips et al., which are used to date stamp the origination and collapse dates of asset price bubbles, have generated considerable interest. This paper provides a review for both empirical researchers that adopt these new econometric tools to detect the presence of asset price ...
Yang Hu
wiley +1 more source
Modeling Contagion of Financial Markets: A GARCH-EVT Copula Approach
Engineering Proceedings, 2023 To better assess the financial contagion through the VaR, several recent studies used copula models. In the same context, this paper addresses the inefficiency of the classical approach such as a normal distribution in modeling the tail risk, by using ...
Gueï Cyrille Okou, Amine Amar
doaj +1 more source
Monetary Policy Uncertainty and Inflation Expectations*
Oxford Bulletin of Economics and Statistics, Volume 85, Issue 1, Page 70-94, February 2023., 2023 Abstract Do inflation expectations react to changes in the volatility of monetary policy? They have, but only until the global financial crisis. This paper investigates whether increasing the dispersion of monetary policy shocks, which is interpreted as elevated uncertainty surrounding monetary policy, affects the inflation expectation formation ...
Gabriel Arce‐Alfaro, Boris Blagov
wiley +1 more source
Modeling the interaction across international conventional and Islamic stock indices
Cogent Economics & Finance, 2021 Islamic financial instruments have been experiencing rapid growth in the last 50 years. Despite the unique motivation in formulating them, namely based on Syariah law, their movement might link to those of the conventional ones.
Abdul Hakim +3 more
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Cogent Economics & Finance, 2021 This study compares the size and power of autoregressive conditional heteroskedasticity (ARCH) tests that are robust to the presence of a misspecified conditional mean.
Daiki Maki, Yasushi Ota
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Long Memory Analysis: An Empirical Investigation
International Journal of Economics and Financial Issues, 2013 This study is an attempt to review the theory and applications of autoregressive fractionally integrated moving average (ARFIMA) and fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) models, mainly for the ...
Rafik Nazarian +3 more
doaj +4 more sources
Examination of Weekend Effect and Caparison of Individual and Legal Investor's Behavior During 1381-85 in Tehran Stock Exchange [PDF]
تحقیقات مالی, 2010 In this article using Autoregressive (AR), Autoregressive conditional heteroskedasticity (ARCH), Generalized autoregressive conditional heteroskedasticity (GARCH) Models we assess the weekend effect and also compare the trading patterns of individual and
Gholam Reza Eslami Bidgoli +1 more
doaj
The Generalized STAR Modeling with Heteroscedastic Effects
Cauchy: Jurnal Matematika Murni dan Aplikasi, 2022 In general, the Generalized Space Time Autoregressive (GSTAR) model of space-time assumes constant error variance. In this study, a GSTAR model was built with an error variance that was not constant or had a heteroscedasticity effect, namely the ...
Utriweni Mukhaiyar, Syahri Ramadhani
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Time-Varying Identification of Monetary Policy Shocks [PDF]
arXiv, 2023 We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search, allows to verify identification through heteroskedasticity within each regime.
arxiv
Has COVID-19 Changed the Hedge Effectiveness of Bitcoin?
Frontiers in Public Health, 2021 The Bitcoin market has become a research hotspot after the outbreak of Covid-19. In this paper, we focus on the relationships between the Bitcoin spot and futures.
Yinpeng Zhang, Panpan Zhu, Yingying Xu
doaj +1 more source