Results 71 to 80 of about 482,580 (177)
The Sustainability of Budget Deficit in Turkey: Hidden Cointegration Relationship
, 2019 Bu çalışma zamanlararası bütçe kısıtı yaklaşımından yola çıkarak Hakkio ve Rush’ın (1991) bütçe açığının sürdürülebilirliğinin nasıl gerçekleşebileceğini ve Quintos’ın (1995) bütçe açığının sürdürülebilmesinin güçlü ve zayıf koşulları dikkate alınarak ...
Durmaz, Atakan, Akkuş, Ömer
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The Integration Order of Vector Autoregressive Processes [PDF]
We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial.
Massimo Franchi
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This article extends the seminal work of Granger and Yoo (2002) on hidden cointegration to panel data analysis. It shows how cumulative negative and positive changes can be constructed for each panel variable.
Abdulnasser, Hatemi-J
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Asymptotic Properties of Pseudo Maximum Likelihood Estimates for Multiple Frequency I(1) Processes [PDF]
In this paper we derive (weak) consistency and the asymptotic distribution of pseudo maximum likelihood estimates for multiple frequency I(1) processes.
Martin Wagner, Dietmar Bauer
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, 2020 Modelling complex asymmetric effects and non-linear relationships between exchange rate and stock prices has challenged classical econometric methods. This study contributes to the relative literature in the following distinct ways.
ALTINTAŞ, HALİL, Kassouri, Yacouba
core +1 more source
, 2021 Yüksek LisansEnerji kavramı, ülkelerin ekonomik ve sosyal kalkınmasında büyük öneme sahiptir. Sanayi devrimi sonrasında artarak devam eden enerji ihtiyacının karşılanmasında kıt olmayan ve doğaya daha az zarar veren yenilenebilir enerji kaynakları yerine
Sönmez, Seçil
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A General Representation Theorem for Integrated Vector Autoregressive Processes [PDF]
We study the algebraic structure of an I(d) vector autoregressive process, where d is restricted to be an integer. This is useful to characterize its polynomial cointegrating relations and its moving average representation, that is to prove a version of ...
Massimo Franchi
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A New Algebra ic Approach to Representation Theorems for (Co)integrated Processes up to the Second Order [PDF]
The paper establishes a unified representation theorem for (co)integrated processes up to the second order which provides a compact and informative insight into the solution of VAR models with unit roots, and sheds light on the cointegration features of ...
Maria Grazia Zoia
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Bayesian Inference for Dynamic Cointegration Models with Application to Soybean Crush Spread
, 2016 In crush spread commodity trading strategies it is a common practice to select portfolio positions not based on statistical properties, but instead based on physical refinery conditions and efficiency in extracting byproducts from crushing raw soybeans ...
Nikolas Kantas +7 more
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A Neural Learning Approach for a Data-Driven Nonlinear Error Correction Model. [PDF]
Comput Intell Neurosci, 2023 Fang X, Yang N.
europepmc +1 more source