Volatility term structures in commodity markets [PDF]
, 2019 In this study, we comprehensively examine the volatility term structures in commodity markets. We model state‐dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the equity ...
Goyal A. +3 more
core +4 more sources
Multidimensional Wealth Inequality: A Hybrid Approach toward Distributional National Accounts in Europe [PDF]
, 2020 Distributional National Accounts (DINA) link macroeconomic aggregates with distributional information enabling a better understanding of distributional implications of macroeconomic developments and facilitate cross-country comparisons of inequality ...
Waltl, Sofie R.
core
Real-time price discovery in stock, bond and foreign exchange markets [PDF]
, 2004 We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets.
Boragan Aruoba +9 more
core +5 more sources
METHODOLOGICAL ASPECTS OF INTELLECTUAL PROPERTY PRODUCTS ACCOUNTING IN MACROECONOMIC STATISTICS
Вестник университета, 2017 The article concerns the topical issues of the intellectual property products accounting methodology in formation of system of macroeconomic indicators.
A. Abroskin, N. Abroskina
doaj +1 more source
Economic determinants of fertility forecasting in Russia [PDF]
Население и экономика, 2018 The article presents the author’s concept of demographic forecasting, which argues that GDP, other macroeconomic and socio-economic (level of life) processes and indices do matter.
Aleksey Kashepov
doaj +3 more sources
AFRE (Accounting and Financial Review), 2022 The purpose of this paper was to analyze stock market return volatility spillover between in Sub-Sahara markets using Nigeria, Ghana and South Africa monthly data from January 2000 to December 2017.
Peter Ali
doaj +1 more source
Stock market interactions and the impact of macroeconomic news – evidence from high frequency data of European futures markets [PDF]
, 2006 This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements.
Canto, Bea, Kräussl, Roman
core +1 more source
Statistical Analysis and Evaluation of Macroeconomic Policies: A Selective Review [PDF]
Applied Mathematics-A Journal of Chinese Universities, 2020 AbstractIn this paper, we highlight some recent developments of a new route to evaluate macroeconomic policy effects, which are investigated under the framework with potential outcomes. First, this paper begins with a brief introduction of the basic model setup in modern econometric analysis of program evaluation.
Liu, Ze-qin +3 more
openaire +1 more source
A cross-country analysis of macroeconomic responses to COVID-19 pandemic using Twitter sentiments
PLoS ONE, 2022 The COVID-19 pandemic has had a devastating impact on the global economy. In this paper, we use the Phillips curve to compare and analyze the macroeconomics of three different countries with distinct income levels, namely, lower-middle (Nigeria), upper ...
Z. Nia +8 more
semanticscholar +1 more source
Implementation of bagging in time series forecasting
Российский технологический журналObjectives. The purpose of the article is to build different models of bagging, to compare the accuracy of their forecasts for the test period against standard models, and to draw conclusions about the possibility of further use of the bagging technique ...
Ia. V. Gramovich +2 more
doaj +1 more source