Results 71 to 80 of about 3,856 (236)
Stock Price Deviations From Fundamentals Levels: Mis‐Valuation due to Investor Overconfidence?
International Journal of Finance &Economics, EarlyView.ABSTRACT We use the Residual Income Valuation Model to obtain fundamental values for sample stocks in six Eurozone markets. We then estimate the deviation between the fundamental values and actual stock prices. Subsequently, we examine whether these deviations can be systematically explained by business cycle trends, trends in local economic sentiment,
Stella N. Spilioti +1 more
wiley +1 more source
Estimating Structured Vector Autoregressive Model
, 2016 While considerable advances have been made in estimating high-dimensional structured models from independent data using Lasso-type models, limited progress has been made for settings when the samples are dependent. We consider estimating structured VAR (vector auto-regressive models), where the structure can be captured by any suitable norm, e.g ...
Igor Melnyk, Arindam Banerjee 0001
openaire +3 more sources
When Politics Meets Money: Geopolitical Risk and Money Demand in the US and Euro Area
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper investigates the impact of geopolitical risk on real money demand in the United States and the Euro Area using Divisia monetary aggregates. To account for the potential instability of money demand and the complex nature of geopolitical shocks, we employ a comprehensive empirical framework combining linear and non‐linear ...
Anirban Sengupta +2 more
wiley +1 more source
RESPON KEBIJAKAN MONETER YANG OPTIMAL DI INDONESIA: The State-Contingent Rule?
Buletin Ekonomi Moneter dan Perbankan, 2008 By developing a long-run macro structural model, The Structural Cointegrating Vector Autoregression (VAR), the optimality principle of monetary policy response in Indonesia is formulated.
Solikin M. Juhro
doaj +1 more source
The Effects of Monetary Policy in the United Kingdom: New Evidence From SONIA Market Responses
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper constructs a new measure of the UK monetary policy instrument (MPI) using daily changes in the sterling overnight index average (SONIA) around Bank of England policy events from June 1997 to August 2025. The instrument explicitly accounts for pre‐event information and unconventional monetary policy (UMP) using lagged macro‐financial
Ayobami E. Ilori, Lucia M. Murgia
wiley +1 more source
From data to safer roads: predictive modelling and causal analysis of road fatalities in Australia
Scientific ReportsThis study uses advanced time-series forecasting and causal modelling techniques to examine long-term patterns in Australian road traffic fatalities. Four statistical approaches were assessed: Holt-Winters, Theta, TBATS, and Vector Autoregression, with ...
Saeid Afshari +2 more
doaj +1 more source
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
Learning Vector Autoregressive Models With Latent Processes
Proceedings of the AAAI Conference on Artificial Intelligence, 2018 We study the problem of learning the support of transition matrix between random processes in a Vector Autoregressive (VAR) model from samples when a subset of the processes are latent. It is well known that ignoring the effect of the latent processes may lead to very different estimates of the influences among observed processes, and ...
Saber Salehkaleybar +3 more
openaire +2 more sources
International Studies of Economics, EarlyView.ABSTRACT South Africa's macroeconomic environment continues to be shaped by persistent structural imbalances, including high unemployment, inflationary pressures, and exchange rate fluctuations, all of which have important implications for the country's long‐term economic performance.
Thakhani Tshibalanganda +1 more
wiley +1 more source
Journal of Applied Econometrics, EarlyView.ABSTRACT We introduce EA‐MD‐QD, a new publicly available dataset comprising 1136 macroeconomic time series for the euro area (EA) and its ten largest member countries observed at monthly or quarterly frequency. Since January 2024, EA‐MD‐QD has been updated monthly and continuously revised, providing a valuable resource for policy analysis in the EA ...
Matteo Barigozzi +2 more
wiley +1 more source