Results 151 to 160 of about 23,659 (294)
Predicting EU Emissions Allowance Prices Using Macroeconomic Indicators and Hybrid AI Models
Journal of Forecasting, EarlyView.ABSTRACT Predicting carbon allowance prices has grown more crucial in relation to carbon market regulation, financial strategy, and environmental policy development. This study examines a hybrid forecasting system that combines deep learning with ensemble machine learning models to forecast the price fluctuations of EU Emissions Allowance (EUAs) within
Saptarshi Ganguly +2 more
wiley +1 more source
Regularized Joint Estimation of Related Vector Autoregressive Models. [PDF]
Comput Stat Data Anal, 2019 Skripnikov A, Michailidis G.
europepmc +1 more source
Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity [PDF]
In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be efficient.
Helmut Herwartz, Helmut Luetkepohl
core
Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model
Journal of Forecasting, EarlyView.ABSTRACT This paper introduces a Threshold Asymmetric Conditional Autoregressive Range (TACARR) model for analyzing the daily price ranges of financial assets. The proposed formulation assumes that the conditional expected range switches between two regimes, representing upward and downward market states, with the disturbance distribution also allowed ...
Isuru Ratnayake, V. A. Samaranayake
wiley +1 more source
Three Essays in Time Series Econometrics. [PDF]
This thesis deals with different topics in time series econometrics that belong, broadly speaking, to the area of macroeconometrics. That is, topics and methods are investigated which are of interest to applied researchers that want to analyze the ...
KASCHA, Christian
core
International Journal of Finance &Economics, EarlyView.ABSTRACT We use foreign trade data on both imports and exports of goods and services among a group of 15 advanced economies to determine the incomes and price elasticities of demand for exports and imports of goods, services and goods and services combined in the long run.
Tjeerd M. Boonman +2 more
wiley +1 more source
A General Framework for Observation Driven Time-Varying Parameter Models [PDF]
We propose a new class of observation driven time series models that we refer to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled likelihood score. This provides a unified and consistent framework for
Andre Lucas +2 more
core
Interplay Between Green Investment and Market Price Premia in Global Shipping
International Journal of Finance &Economics, EarlyView.ABSTRACT Existing research emphasises that the driver of green investment is its future profitability. This paper shows that other investors' decisions also influence green investment. We take the example of scrubber installation in shipping, which is optional by regulation but has an established market for trading its underlying asset.
Yao Shi +4 more
wiley +1 more source
Identifiability and estimation of structural vector autoregressive models for subsampled and mixed-frequency time series. [PDF]
Biometrika, 2019 Tank A, Fox EB, Shojaie A.
europepmc +1 more source