Results 71 to 80 of about 16,685 (283)
South African Journal of Economic and Management Sciences, 2020 Background: Namibia is an open economy where international trade accounts for a greater proportion of gross domestic product (GDP). Openness of the Namibian economy for the period 2010 to 2018 has been on average 111% of GDP.
Teboho Jeremiah Mosikari +1 more
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Modeling and Forecasting the CBOE VIX With the TVP‐HAR Model
Journal of Forecasting, EarlyView.ABSTRACT This study proposes the use of a heterogeneous autoregressive model with time‐varying parameters (TVP‐HAR) to model and forecast the Chicago Board Options Exchange (CBOE) volatility index (VIX). To demonstrate the superiority of the TVP‐HAR model, we consider six variations of the model with different bandwidths and smoothing variables and ...
Wen Xu +2 more
wiley +1 more source
A Cointegrated Regime-Switching Model Approach with Jumps Applied to Natural Gas Futures Prices
Risks, 2017 Energy commodities and their futures naturally show cointegrated price movements. However, there is empirical evidence that the prices of futures with different maturities might have, e.g., different jump behaviours in different market situations ...
Daniel Leonhardt +2 more
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A Characterization Of Cointegration
, 1993 In this paper we provide a succinct characterization of cointegration and a criterion that leads to a novel, and very simple test for cointegration. We also provide a restatement and proof of the characterizations given in Engle and Granger (1987) (EG), correcting a number of minor errors and misstatements.
openaire +5 more sources
Fundamentals Models Versus Random Walk: Evidence From an Emerging Economy
Journal of Forecasting, EarlyView.ABSTRACT We analyze the predictive power of fundamentals versus random walk models for horizons from 1 to 24 months in an emerging market. Specifically, we investigate what fundamentals models outperform random walk during periods of appreciation and depreciation of the exchange rate.
Helder Ferreira de Mendonça +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
A note on the determinants of non‐fungible tokens returns
International Journal of Finance &Economics, EarlyView.Abstract We aim to identify the determinants of non‐fungible tokens (NFTs) returns. The 10 most popular NFTs based on their price, trading volume, and market capitalisation are examined. Twenty‐three potential drivers of the returns of each NFT are considered.
Theodore Panagiotidis +1 more
wiley +1 more source
On determination of cointegration ranks [PDF]
Statistics and Its Interface, 2009 We propose a new method to determine the cointegration rank in the error correction model (ECM). The cointegration rank, together with the lag order, is determined by a penalized goodness-of-fit measure. We show that the estimated cointegration vectors are consistent with a convergence rate T, and our estimation for the cointegration rank is consistent.
Li, Qiaoling, Pan, Jiazhu, Yao, Qiwei
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International Journal of Finance &Economics, EarlyView.Abstract This research investigates the interplay between sustainable finance, energy policies, and environmental outcomes in OECD countries from 2005 to 2018. Recognising the pivotal role of OECD countries in global sustainability efforts, this study focuses on Australia, Belgium, Denmark, Germany, Japan, Norway, Portugal, Spain, Sweden, and ...
Bilgehan Tekin +2 more
wiley +1 more source