Results 161 to 170 of about 23,659 (294)
Brexit and Its Impact on EU Financial Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT We investigate the impact of Brexit on volatility spillovers across the EU countries. We introduce a Brexit intensity measure that assigns an intensity score reflective of the financial markets' reaction to the events that occurred as Brexit negotiations began to unfold.
Marwan Izzeldin +3 more
wiley +1 more source
THE RELATIONSHIP BETWEEN EXPORTS AND ECONOMIC GROWTH IN EAST ASIAN COUNTRIES: A MULTIVARIATE THRESHOLD AUTOREGRESSIVE APPROACH [PDF]
During the process of economic development, different economic policies are adopted in accordance with particular circumstances. Therefore, conventional methods of time-series analysis may give misleading results if the problems associated with regime ...
Chien-Hui Lee, Bwo-Nung Huang
core
International Journal of Finance &Economics, EarlyView.ABSTRACT This study examines risk transmission and co‐movements between financial markets (G7 countries and China) and commodity markets (gold and oil) during the COVID‐19 crisis. Daily closing prices for major equity indices (CAC40, CSI300, DAX30, FTSE100, MIB, NIKKEI, TSX and S&P500) and futures prices for gold, brent and WTI were analysed using DCC ...
V. Moutinho +3 more
wiley +1 more source
Bootstrap Confidence Bands for Forecast Paths [PDF]
The problem of forecasting from vector autoregressive models has attracted considerable attention in the literature. The most popular non-Bayesian approaches use large sample normal theory or the bootstrap to evaluate the uncertainty associated with the ...
Anna Staszewska-Bystrova
core
International Journal of Finance &Economics, EarlyView.ABSTRACT This study aims to classify pivotal fintech innovations and explore the prospects and pitfalls associated with emerging fintech services extensively discussed in the literature. We conducted a multistage systematic review of research published on fintech over the past decade from a technological perspective. Using the Preferred Reporting Items
Muhammad Imran Qureshi, Nohman Khan
wiley +1 more source
Forecasting Swiss inflation using VAR models [PDF]
A procedure that has been used at the Swiss National Bank for selecting vector-autoregressive (VAR) models in order to forecast Swiss consumer price inflation is presented.
Caesar Lack
core
Industry Portfolio Volatility Connections and Industry Portfolio Returns
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper tracks dynamic connections that form among daily US industry portfolio return volatilities using a Bayesian time‐varying parameter VAR model. Market participants often focus on sectors to filter vast amounts of information, and this focus results in cross‐industry return predictability. We characterise connections that form over the
Michael Ellington +2 more
wiley +1 more source
FORECAST EVALUATION FOR MULTIVARIATE TIME-SERIES MODELS: THE U.S. CATTLE MARKET
A set of rigorous diagnostic techniques is used to evaluate the forecasting performance of five multivariate time-series models for the U.S. cattle sector.
Park, Timothy A.
core
Institutional Diversity in Banking and Economic Complexity
International Journal of Finance &Economics, EarlyView.ABSTRACT In this paper, we test whether institutional diversity in banking systems is beneficial to economic complexity, using data for Italian provinces in the period 1998–2017. We compute different indexes that consider diversity from an ownership, institutional, business model and competition point of view and find that higher diversity has a ...
Beniamino Pisicoli
wiley +1 more source
Modeling qualitative between-person heterogeneity in time series using latent class vector autoregressive models. [PDF]
Behav Res MethodsErnst AF, Haslbeck JMB.
europepmc +1 more source