Studies in Nonlinear Dynamics and Econometrics最新文献_第3页

Causal relationships between cryptocurrencies: the effects of sampling interval and sample size 加密货币之间的因果关系：采样间隔和样本量的影响

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-02-27 DOI: 10.1515/snde-2022-0054

Nezire Köse, E. Ünal

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引用次数: 1

Panel threshold model with covariate-dependent thresholds and its application to the cash flow/investment relationship 具有协变量依赖阈值的面板阈值模型及其在现金流量/投资关系中的应用

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-02-27 DOI: 10.1515/snde-2022-0035

Lixiong Yang

引用次数: 0

Multi-kernel property in high-frequency price dynamics under Hawkes model Hawkes模型下高频价格动态的多核性质

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-02-23 DOI: 10.1515/snde-2022-0049

Kyungsub Lee

引用次数: 0

Frontmatter 头版头条

4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-02-01 DOI: 10.1515/snde-2023-frontmatter1

引用次数: 0

Volatility and dependence in cryptocurrency and financial markets: a copula approach 加密货币和金融市场的波动性和依赖性:一种联结方法

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-01-10 DOI: 10.1515/snde-2022-0029

Jinan Liu, Apostolos Serletis

引用次数: 1

A new test for non-linear hypotheses under distributional and local parametric misspecification 分布和局部参数错误指定下非线性假设的一个新检验

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-11-29 DOI: 10.1515/snde-2022-0043

A. Bera, Osman Doğan, Suleyman Taspinar

引用次数: 0

Optimization study of momentum investment strategies under asymmetric power-law distribution of return rate 收益率非对称幂律分布下动量投资策略的优化研究

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-11-11 DOI: 10.1515/snde-2022-0020

Xuan Wu, Kun Wang, Linlin Zhang, Chong Peng

引用次数: 0

Estimating uncertainty spillover effects across euro area using a regime dependent VAR model 使用制度相关VAR模型估计整个欧元区的不确定性溢出效应

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-11-02 DOI: 10.1515/snde-2021-0107

Giovanni Angelini, Mauro Costantini, J. Easaw

{"title":"Estimating uncertainty spillover effects across euro area using a regime dependent VAR model","authors":"Giovanni Angelini, Mauro Costantini, J. Easaw","doi":"10.1515/snde-2021-0107","DOIUrl":"https://doi.org/10.1515/snde-2021-0107","url":null,"abstract":"Abstract This paper investigates macroeconomic uncertainty spillover effects across countries and their impact on real economic activity in different economic periods, i.e. pre-crisis and during the recent financial crisis. The analysis is initially carried out using Monte Carlo simulations and, subsequently, real data for four euro zone economies, namely Italy, France, Germany, and Spain. The Monte Carlo findings clearly indicate a need to account for spillover effects across countries when investigating the impact of aggregate uncertainty on economic variables. The empirical results provide clear-cut evidence of the existence of macroeconomic spillovers between the four euro countries, with some feedback from periphery economies, notably Italy, to the core economies during the financial crisis period. Further, the impact of uncertainty on real economic activity is dampened for the four euro countries when spillover effects are accounted for. Spillover effects among the four countries are also observed when US uncertainty is taken into account. Further, US macroeconomic uncertainty impacts negatively on the real economic activity of the four euro countries.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49640734","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Bayesian inference for order determination of double threshold variables autoregressive models 双阈值变量自回归模型定序的贝叶斯推理

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-11-02 DOI: 10.1515/snde-2020-0096

Xiaobing Zheng, Qiang Xia, Rubing Liang

引用次数: 0

Anticipating extreme losses using score-driven shape filters 使用分数驱动的形状过滤器预测极端损失

IF 0.8 4区经济学

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-10-10 DOI: 10.1515/snde-2021-0102

A. Ayala, Szabolcs Blazsek, A. Escribano

{"title":"Anticipating extreme losses using score-driven shape filters","authors":"A. Ayala, Szabolcs Blazsek, A. Escribano","doi":"10.1515/snde-2021-0102","DOIUrl":"https://doi.org/10.1515/snde-2021-0102","url":null,"abstract":"Abstract We suggest a new value-at-risk (VaR) framework using EGARCH (exponential generalized autoregressive conditional heteroskedasticity) models with score-driven expected return, scale, and shape filters. We use the EGB2 (exponential generalized beta of the second kind), NIG (normal-inverse Gaussian), and Skew-Gen-t (skewed generalized-t) distributions, for which the score-driven shape parameters drive the skewness, tail shape, and peakedness of the distribution. We use daily data on the Standard & Poor’s 500 (S&P 500) index for the period of February 1990 to October 2021. For all distributions, likelihood-ratio (LR) tests indicate that several EGARCH models with dynamic shape are superior to the EGARCH models with constant shape. We compare the realized volatility with the conditional volatility estimates, and we find two Skew-Gen-t specifications with dynamic shape, which are superior to the Skew-Gen-t specification with constant shape. The shape parameter dynamics are associated with important events that affected the stock market in the United States (US). VaR backtesting is performed for the dot.com boom (January 1997 to October 2020), the 2008 US Financial Crisis (October 2007 to March 2009), and the coronavirus disease (COVID-19) pandemic (January 2020 to October 2021). We show that the use of the dynamic shape parameters improves the VaR measurements.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"0 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42201680","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5