Results 51 to 60 of about 115,443 (288)
Combining non‐cointegration tests [PDF]
Journal of Time Series Analysis, 2012 The local power of many popular non‐cointegration tests has recently been shown to depend on a certain nuisance parameter. Depending on the value of that parameter, different tests perform best. This paper suggests combination procedures with the aim of providing meta tests that maintain high power across the range of the nuisance parameter.1 We ...
Bayer, Christian, Hanck, Christoph
openaire +5 more sources
When the Tail Wags the Dog: A Time‐Varying FCVAR Analysis of Bitcoin Market
Journal of Futures Markets, EarlyView.ABSTRACT This paper examines how the relationship between Bitcoin spot and futures markets has evolved using a time‐varying Fractionally Cointegrated Vector Autoregressive (FCVAR) model. We are the first to apply this methodology dynamically to cryptocurrency markets, allowing us to simultaneously analyze long‐run equilibrium, pricing patterns, market ...
Filippo di Pietro +2 more
wiley +1 more source
Modelling cointegration and Granger causality network to detect long-term equilibrium and diffusion paths in the financial system [PDF]
Royal Society Open Science, 2018 Microscopic factors are the basis of macroscopic phenomena. We proposed a network analysis paradigm to study the macroscopic financial system from a microstructure perspective.
Xiangyun Gao +4 more
doaj +1 more source
Bitcoin and Altcoins Price Dependency: Resilience and Portfolio Allocation in COVID-19 Outbreak
Risks, 2021 The main aim of this article is to examine the inter-relationships among the top cryptocurrencies on the crypto stock market in the presence and absence of the COVID-19 pandemic.
Ahmet Faruk Aysan +2 more
doaj +1 more source
The Impact of Democratization and Globalization on Environmental Sustainability in Brazil
Geological Journal, EarlyView.Fossil fuel, economic globalisation, and economic growth drive environmental degradation while democratisation positively influences environmental quality. ABSTRACT Although Brazil still possesses significant ecological reserves, the surplus in its biocapacity has been rapidly declining in recent years.
Mustafa Naimoğlu +3 more
wiley +1 more source
BANANA MARKET INTEGRATION AND COINTEGRATION: IMPLICATIONS FOR SUSTAINABLE AGRICULTURAL DEVELOPMENT
Pakistan Journal of Agriculture, Agricultural Engineering & Veterinary Sciences, 2023 The prices are controlled, guide and determine level of consumption, production, decisions of the market over time, form and places in the market-driven economy.
S. Rani
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International Journal of Finance &Economics, EarlyView.ABSTRACT We use foreign trade data on both imports and exports of goods and services among a group of 15 advanced economies to determine the incomes and price elasticities of demand for exports and imports of goods, services and goods and services combined in the long run.
Tjeerd M. Boonman +2 more
wiley +1 more source
Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 2018 Bu çalışmada, Türkiye’nin Ocak 2006 - Kasım 2017 yılları arasında gerçekleşen doğrudan yabancı yatırımları ile kredi derecelendirme kuruluşu Standard&Poors’ un ilan ettiği ülke kredi notları arasındaki uzun dönemli ilişki zaman serisi analizleri ...
Asuman Balat +2 more
doaj +1 more source
COINTEGRATION AND UNIT ROOTS [PDF]
Journal of Economic Surveys, 1990 Abstract. This paper provides an updated survey of a burgeoning literature on testing, estimation and model specification in the presence of integrated variables. Integrated variables are a specific class of non‐stationary variables which seem to characterise faithfully the properties of many macroeconomic time series.
Dolado, J +2 more
openaire +3 more sources
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