Results 21 to 30 of about 1,195,709 (313)
The Equity Premium And Structural Breaks [PDF]
SSRN Electronic Journal, 1998 A long return history is useful in estimating the current equity premium even if the historical distribution has experienced structural breaks. The long series helps not only if the timing of breaks is uncertain but also if one believes that large shifts in the premium are unlikely or that the premium is associated, in part, with volatility.
Pastor, Lubos, Stambaugh, Robert F
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Volatility spillovers among MIST stock markets
Data Science in Finance and Economics, 2022 This paper examines the effects of volatility spillover between MIST stock markets. We used daily data from January 3, 2012, to November 16, 2021, and the test of causality in variance, including structural breaks.
Deniz Sevinç
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On the Forecast Combination Puzzle
Econometrics, 2019 It is often reported in the forecast combination literature that a simple average of candidate forecasts is more robust than sophisticated combining methods.
Wei Qian +3 more
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Evaluation of the Impact of the Covid-19 Pandemic on Consumer Spending in Turkey by Structural Break Analysis [PDF]
Statistika: Statistics and Economy Journal, 2023 The purpose of this study is to investigate and evaluate the impact of the global Covid-19 crisis on consumer spending tendencies in Turkey. The data of the study, which are weekly data, consists of the "Debit Card and Credit Card Expenditure" amounts of
Mehmet Marangoz, Hatice Hicret Ozkoc
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Structure and dynamics of breaking foams [PDF]
Physical Review E, 1995 Experimental results are presented for the relaxation of a two dimensional soap foam in which wall breakage is initiated through gentle warming of the foam cell. Significantly different phenomenology from the relaxation of nonbreaking foams is observed.
Burnett, G.D. +4 more
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Quantitative Finance and Economics, 2022 This paper quantitatively reveals the meaning of structural breaks for risk management by analyzing US and major European banking sector stocks. Applying newly extended Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity ...
Chikashi Tsuji
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Monte Carlo Evaluation of the Methods Estimating Structural Change Point in Panel Data
Sakarya Üniversitesi Fen Bilimleri Enstitüsü Dergisi, 2019 In this study, we investigate the existence ofstructural break in a panel data consisting of N time series of T unit length,and the estimation performance of Simple Mean Shift Model, Fluctuation Test,Wald Statistic Test, Kim Test which are based on ...
Selim Dağlıoğlu, Mehmet Akif Bakır
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Detecting Nonlinear Interactions in Complex Systems: Application in Financial Markets
Entropy, 2023 Emerging or diminishing nonlinear interactions in the evolution of a complex system may signal a possible structural change in its underlying mechanism.
Akylas Fotiadis +2 more
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ROBUST ESTIMATION OF STRUCTURAL BREAK POINTS [PDF]
Econometric Theory, 2002 This paper proposes robust M-estimators of dynamic linear models with a structural break of unknown location. Rates of convergence and limiting distributions for the estimated shift point and the estimated regression parameters are derived. The analysis is carried out in the framework of possibly dependent observations and also with trending ...
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Robust GMM tests for structural breaks [PDF]
Journal of Econometrics, 2003 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gagliardini, Patrick +2 more
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