Results 121 to 130 of about 97,715 (338)
Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited [PDF]
The paper documents and illustrates state space methods that implement time series disaggregation by regression methods, with dynamics that depend on a single autoregressive parameter.
Tommaso Proietti
core
First evidence of asymmetric cost pass-through of Eu emissions allowances : examining wholesale electricity prices in Germany [PDF]
, 2007 This paper applies the literature on asymmetric price transmission to the emerging commodity market for EU emissions allowances (EUA). We utilize an error correction model and an autoregressive distributed lag model to measure the relationship between ...
Hirschhausen, Christian von +1 more
core +1 more source
Interplay Between Green Investment and Market Price Premia in Global Shipping
International Journal of Finance &Economics, EarlyView.ABSTRACT Existing research emphasises that the driver of green investment is its future profitability. This paper shows that other investors' decisions also influence green investment. We take the example of scrubber installation in shipping, which is optional by regulation but has an established market for trading its underlying asset.
Yao Shi +4 more
wiley +1 more source
International Studies of Economics, EarlyView.ABSTRACT Communication with the market to guide public expectations has become a pivotal monetary policy instrument for central banks worldwide. Therefore, assessing the efficacy of communication in influencing personal expectations is essential for central banks.
Yuying Jin, Sunyao Xia
wiley +1 more source
Journal of Innovation and EntrepreneurshipIndustrialization represents a key policy option for sustainable economic growth, and governments must pursue structural transformation. The Ethiopian government has been designing and implementing different industrialization policies to achieve the ...
Tariku Lorato +2 more
doaj +1 more source
ADL tests for threshold cointegration [PDF]
In this paper, we propose new tests for threshold cointegration in the autoregressive distributed lag (ADL) model. The indicators in the threshold model are based on either a nonstationary or stationary threshold variable.
Jing Li, Junsoo Lee
core
African Journal of Mathematics and Statistics StudiesThe primary aim of this study was to conduct a comparative analysis of the performance of parsimonious models, specifically the Diagonal Vector Autoregressive (VAR) and Multivariate Autoregressive Distributed Lag (MARDL) Models, using their respective Autocovariance and Autocorrelation properties.
Emediong D. Udoh, Anthony E. Usoro
openaire +1 more source
From Reactive to Proactive Volatility Modeling With Hemisphere Neural Networks
Journal of Applied Econometrics, EarlyView.ABSTRACT We revisit maximum likelihood estimation (MLE) for macroeconomic density forecasting through a novel neural network architecture with dedicated mean and variance hemispheres. Our architecture features several key ingredients making MLE work in this context.
Philippe Goulet Coulombe +2 more
wiley +1 more source
An Evaluation of Foreign Exchange Intervention and Monetary Aggregates in Nigeria (1986- 2003) [PDF]
The paper investigates the impact of foreign exchange intervention in the Nigerian foreign exchange market using an Autoregressive Distributed Lag (ARDL) modeling approach.
Adebiyi, Michael Adebayo
core +1 more source
What Explains International Interest Rate Co‐Movement?
Journal of Applied Econometrics, EarlyView.ABSTRACT The international co‐movement of interest rates reflects correlated business‐cycle fluctuations, largely driven by demand shocks. Monetary policy in advanced economies follows domestic mandates—inflation and the output gap—and does not respond to foreign policy shocks.
Annika Camehl, Gregor von Schweinitz
wiley +1 more source