Results 61 to 70 of about 5,076 (206)
Price Discovery in Bitcoin ETF Market
Financial Review, EarlyView.ABSTRACT In this study, we explore price discovery across the following three Bitcoin markets: spot, futures, and exchange‐traded funds (ETFs). Employing the fractionally cointegrated vector autoregressive (FCVAR) model, we estimate price discovery in each market using minute‐level price data from October 19, 2021, the launch date of the first US ...
Kiana Kia +4 more
wiley +1 more source
On Measuring the Welfare Cost of Inflation
Journal of Money, Credit and Banking, EarlyView.Abstract This paper uses neoclassical monetary demand theory to measure the welfare cost of inflation. It uses the microeconomic‐ and aggregation‐theoretic approach to the demand for money, that integrates the demand for money with the demands for consumption and leisure, and provides a comparison between the consumer surplus approach based on ...
APOSTOLOS SERLETIS, LIBO XU
wiley +1 more source
The Monetary Policy–Commodities Nexus: A Survey
Journal of Economic Surveys, EarlyView.ABSTRACT This survey synthesizes evidence on the bidirectional links between commodity markets and monetary policy. On the commodities‐to‐policy side, we review how shocks to energy, food, and metals pass through to inflation, inflation expectations, economic activity, and financial stability in state‐dependent ways that vary by shock type, exposure ...
Martin T. Bohl +2 more
wiley +1 more source
Unemployment and input prices: a fractional cointegration approach [PDF]
Applied Economics Letters, 2002 This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, fractional integration/cointegration techniques are used which allow for the possibility that unemployment is highly persistent.
Caporale, Guglielmo Maria +1 more
openaire +4 more sources
Nonparametric Detection of a Time‐Varying Mean
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a nonparametric portmanteau test for detecting changes in the unconditional mean of a univariate time series which may display either long or short memory. Our approach is designed to have power against, among other things, cases where the mean component of the series displays abrupt level shifts, deterministic trending behaviour ...
Fabrizio Iacone, A. M. Robert Taylor
wiley +1 more source
Residual Log-Periodogram Inference for Long-Run-Relationships [PDF]
, 2002 We assume that some consistent estimator of an equilibrium relation between non-stationary series integrated of order d E (0:5; 1:5) is used to compute residuals ˆut = yt - xt (or differences there of).
Hassler, Uwe +2 more
core +3 more sources
On Robustness to Random Breaks in Panel Data
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT One of the attractions of panel data is the ability to pool information regarding parameters that are common across the cross‐section. In fact, pooling is standard even though there are often reasons to believe that parameters are not common. One reason for this practice is that there is quite some evidence to suggest that estimators of common
Yousef Kaddoura, Joakim Westerlund
wiley +1 more source
When the Tail Wags the Dog: A Time‐Varying FCVAR Analysis of Bitcoin Market
Journal of Futures Markets, Volume 46, Issue 3, Page 529-544, March 2026.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
A Generalized Residual-Based Test for Fractional Cointegration in Panel Data with Fixed Effects
MathematicsAsymptotic theories for fractional cointegrations have been extensively studied in the context of time series data, with numerous empirical studies and tests having been developed.
Saidat Fehintola Olaniran +4 more
doaj +1 more source
Speed of Adjustment in Digital Assets in a Decentralized Financial World
Journal of Futures Markets, Volume 46, Issue 2, Page 320-333, February 2026.ABSTRACT This paper investigates the stability and co‐movement of cryptocurrency assets in Decentralized Finance (DeFi), with a focus on the Speed of Adjustment (SA), the rate at which shocks dissipate, and prices revert to long‐run equilibrium. SA provides a critical measure of market efficiency and portfolio allocation in a highly volatile DeFi ...
Jeremy Eng‐Tuck Cheah +3 more
wiley +1 more source