Results 111 to 120 of about 7,709 (301)
Journal of Management Science and EngineeringAgainst the backdrop of increasing climate policy uncertainty, preventing cross-market risk contagion in the energy transition is crucial to ensuring energy security and effective risk management.
Zhenhua Liu +3 more
doaj +1 more source
Examination of Dynamic Correlation between Major Assets in Iran by DCC-GARCH Approach [PDF]
پژوهشهای اقتصادی, 2015 This study investigates the time-varying correlations among oil and coin prices, and exchange rate in Iran. Since investment is a key factor in economic growth and development, so the necessary funds should be provided and directed towards manufacturing ...
Shadi Amiri +3 more
doaj
LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities [PDF]
Least absolute deviations (LAD) estimation of linear time-series models is considered under conditional heteroskedasticity and serial correlation. The limit theory of the LAD estimator is obtained without assuming the finite density condition for the ...
Jin Seo Cho +2 more
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Intraday Functional PCA Forecasting of Cryptocurrency Returns
Journal of Forecasting, EarlyView.ABSTRACT We study the functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return functions are obtained when the conditional heteroscedasticity of return functions is taken into account.
Joann Jasiak, Cheng Zhong
wiley +1 more source
Autoregressive Conditional Heteroskedasticity (ARCH) models have been applied in modeling the relation between conditional variance and asset risk premium.
Panaretos, John, Margiora, Philippa
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Structural Conditional Correlation [PDF]
A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity.
Weber, Enzo
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Journal of Forecasting, EarlyView.ABSTRACT Most studies on inflation forecasts have studied behavioral biases, informational frictions, or external shocks in isolation, without considering how these factors jointly drive deviations from rational expectations. We therefore adopt an integrated framework that simultaneously estimates the behavioral, informational, and external ...
Belen Chocobar, Peter Claeys
wiley +1 more source
Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity
Starting from the work by Campbell and Shiller (1987), empirical analysis of interest rates has been conducted in the framework of cointegration. However, parts of this approach have been questioned recently, as the adjustment mechanism may not follow a ...
Lucchetti, Riccardo, Palomba, Giulio
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Evaluating Forecasts at Multiple Horizons: An Extension of the Diebold–Mariano Approach
Journal of Forecasting, EarlyView.ABSTRACT Forecast accuracy tests are fundamental tools for comparing competing predictive models. The widely used Diebold–Mariano (DM) test assesses whether differences in forecast errors are statistically significant. However, its standard form is limited to pairwise comparisons at a single forecast horizon.
Andrew Grant +2 more
wiley +1 more source
HACking at Non-linearity: Evidence from Stocks and Bonds [PDF]
The implicit assumption of linearity is an important element in empirical finance. This study presents a hypothesis testing approach which examines the linear behaviour of the conditional mean between stock and bond returns.
Robert J Bianchi +2 more
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