Results 141 to 150 of about 7,709 (301)
We establish the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of a class of multivariate GARCH processes. The conditions are mild and coincide with the minimal ones in the univariate case.
Francq, Christian, Zakoian, Jean-Michel
core
International Studies of Economics, EarlyView.Abstract This paper examines the link between climate risk, energy consumption, and financial market performance in a sample of emerging countries over the period 2000–2024. The objective is to model the dynamic interactions between these three dimensions, in order to understand the extent to which energy dependence and exposure to climate risks ...
Abdelkader Mohamed Derbali
wiley +1 more source
Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets [PDF]
This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot, forward and futures returns from three major benchmarks of international crude oil markets, namely Brent, WTI and Dubai, to aid in risk ...
Roengchai Tansuchat +2 more
core +2 more sources
Are consumers willing to pay more for future organic? Preference for certified transitional labels
Journal of the Agricultural and Applied Economics Association, EarlyView.Abstract The organic industry in the United States (US) has never kept pace with consumer demand and heavily relies on imports. This paper investigates how consumers value certified transitional labels, indicating growers are transitioning from conventional to organic production.
Xuqi Chen +4 more
wiley +1 more source
The Dynamics of the Short-Term Interest Rate in the UK [PDF]
We estimate and test different continuous-time short-rate models for the UK. The preferred model encompasses both the “level effect” of Chan, Karolyi, Longstaff and Sanders (1992a) and the conditional heteroskedasticity effect of GARCH type models.
Diether Beuermann +2 more
core
Journal of Applied Econometrics, EarlyView.ABSTRACT We present four novel tests of equal predictive accuracy and encompassing á Pitarakis (2023, 2025) for factor‐augmented regressions. Factors are estimated using cross‐section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors,
Alessandro Morico, Ovidijus Stauskas
wiley +1 more source
DEoptim: An R Package for Global Optimization by Differential Evolution
Journal of Statistical Software, 2011 This article describes the R package DEoptim, which implements the differential evolution algorithm for global optimization of a real-valued function of a real-valued parameter vector.
Katharine M. Mullen +4 more
doaj
An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model
The Block DCC model for determining dynamic correlations within and between groups of financial asset returns is extended to account for asymmetric effects.
Vargas, Gregorio A.
core
Varieties of Democracy Aid Approaches: The Role of Donors' Domestic Ideology
Journal of International Development, EarlyView.ABSTRACT After the end of the Cold War, DAC donors increased their efforts of democracy promotion in developing countries. Among other instruments, DAC donors increasingly use democracy aid to improve democracy abroad. However, DAC donors differ in their allocation and delivery strategy of democracy aid.
Jean‐Baptiste Puginier
wiley +1 more source
Does Economic Complexity Promote Inclusive Green Growth in Developing Economies?
Journal of International Development, EarlyView.ABSTRACT Although economic complexity (ECI) is closely linked to structural transformation, its implications for inclusive green growth (IGG) remain underexplored, particularly in Sub‐Saharan Africa (SSA). Notably, there is a knowledge gap on how progress in ECI affects IGG.
Emmanuel Y. Gbolonyo +2 more
wiley +1 more source