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检索条件"主题词=Mixed Data sampling"
40 条 记 录,以下是11-20 订阅
排序:
Stock market and inequality distributions - Evidence from the BRICS and G7 countries
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INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 2024年 92卷 1172-1190页
作者: Dang, Dong Quang Wu, Weiou Korkos, Ioannis London South Bank Univ Business Sch Div Finance Econ Accounting & Analyt 103 Borough Rd London SE1 0AA England
By examining the effects of three stock market indicators (market accessibility, efficiency, and stability) on income and wealth inequality in the BRICS and G7 countries, this study enriches lacking literature on inco... 详细信息
来源: 评论
Predicting Financial Distress Using a MIDAS Hazard Model: Evidence from Listed Companies in China
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EMERGING MARKETS FINANCE AND TRADE 2023年 第4期60卷 678-687页
作者: Li, Xiangrong Zhang, Maojun Nan, Jiangxia Yang, Qingyuan Guangxi Univ Sch Econ Nanning Peoples R China Suzhou Univ Sci & Technol Sch Business Suzhou Peoples R China Nanning Coll Vocat Technol Sch Finance & Econ Nanning Peoples R China Suzhou Univ Sci & Technol Sch Business Xuefu Rd 99 Suzhou 215009 Peoples R China
This study aims to predict financial distress in an emerging country using data on ST listed companies in China from 2001 to 2021. A new Aalen hazard model with mixed data sampling (MIDAS) is adopted to investigate th... 详细信息
来源: 评论
mixed frequency composite indicators for measuring public sentiment in the EU
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Quality and Quantity 2023年 第3期57卷 2357-2382页
作者: Mattera, Raffaele Misuraca, Michelangelo Spano, Maria Scepi, Germana Department of Social and Economic Sciences Sapienza University of Rome Rome Italy Department of Economics and Statistics University of Naples “Federico II” Naples Italy Department of Business Administration and Law University of Calabria Rende Italy
Monitoring the state of the economy in a short time is a crucial aspect for designing appropriate and timely policy responses in the presence of shocks and crises. Short-term confidence indicators can help policymaker... 详细信息
来源: 评论
Forecasting VIX with time-varying risk aversion
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INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 2023年 88卷 458-475页
作者: Wu, Xinyu He, Qizhi Xie, Haibin Anhui Univ Finance & Econ Sch Finance Bengbu 233030 Peoples R China Zhejiang Gongshang Univ Sch Stat & Math Hangzhou 310018 Peoples R China Univ Int Business & Econ Sch Banking & Finance Beijing 100029 Peoples R China
In this paper, we investigate the predictive value of time-varying risk aversion (RA) for VIX via the realized EGARCH-mixed-data sampling model incorporating RA (henceforth REGARCHMIDAS-RA). The REGARCH-MIDAS-RA model... 详细信息
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Deep factor asset pricing with policy guidance based on multi-source heterogeneous information
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APPLIED SOFT COMPUTING 2024年 159卷
作者: Wang, Zezhou Xu, Qifa Jiang, Cuixia Hefei Univ Technol Sch Management Hefei 230009 Anhui Peoples R China Minist Educ Key Lab Proc Optimizat & Intelligent Decis Making Hefei 230009 Anhui Peoples R China Minist Educ Engn Res Ctr Intelligent Decis Making Hefei 230009 Peoples R China
We propose a novel latent factor pricing model to extract latent pricing factors and corresponding factor loadings from multi -source heterogeneous information through a deep learning architecture. Notably, we pioneer... 详细信息
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Dynamic panels with MIDAS covariates: Nonlinearity, estimation and fit
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JOURNAL OF ECONOMETRICS 2021年 第2期220卷 589-605页
作者: Khalaf, Lynda Kichian, Maral Saunders, Charles J. Voia, Marcel Carleton Univ Econ Dept Ottawa ON Canada Carleton Univ Ctr Monetary & Financial Econ CMFE Ottawa ON Canada Ctr Interuniv Rech Econ Quantitat CIREQ Montreal PQ Canada Univ Ottawa Econ Dept Ottawa ON Canada Univ Ottawa Grad Sch Publ & Int Affairs Ottawa ON Canada Univ Western Univ Dept Econ London ON Canada Univ Orleans Orleans France
This paper introduces mixed data sampling (MIDAS) into the panel data context. To address the unidentified nuisance parameter problem, we propose to invert model specification tests for inference on the MIDAS paramete... 详细信息
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Economic policy uncertainty, jump dynamics, and oil price volatility
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ENERGY ECONOMICS 2023年 第1期120卷
作者: Liu, Feng Shao, Shuai Li, Xin Pan, Na Qi, Yu Hubei Univ Econ Inst Adv Studies Finance & Econ Wuhan 430205 Peoples R China East China Univ Sci & Technol Sch Business Shanghai 200237 Peoples R China Zhejiang Gongshang Univ Sch Econ Hangzhou 310018 Peoples R China Zhongnan Univ Econ & Law Sch publ Finance & Taxat Wuhan 430073 Hubei Peoples R China
Although the underlying forces behind oil price volatility have attracted the attention of scholars, a clear consensus is yet to be achieved on how to quantify the contributions of economic policy uncertainty (EPU) an... 详细信息
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Technology shocks-Gold market connection: Is the effect episodic to business cycle behaviour?
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RESOURCES POLICY 2023年 第1期84卷
作者: Ayinde, Taofeek O. Olaniran, Abeeb O. Abolade, Onomeabure C. Ogbonna, Ahamuefula Ephraim Fountain Univ Dept Econ Osogbo Osun Nigeria Ctr Econometr & Appl Res Ibadan Nigeria Cent Bank Nigeria Dept Stat Abuja Nigeria Univ Ibadan Dept Stat Ibadan Nigeria Ctr Econometr & Appl Res Ibadan Nigeria
We explore the connection between technology shocks (TS) and gold return volatility using the various variants of the newly developed TS data and covering several decades from 1950. The consideration for a long range ... 详细信息
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mixed frequency evidence of the tourism growth relationship in small Island developing states: a case study of Tonga
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ASIA PACIFIC JOURNAL OF TOURISM RESEARCH 2021年 第3期26卷 294-307页
作者: Kumar, Nikeel Nishkar Chandra, Ravinay Amit Patel, Arvind Univ South Pacific Fac Business & Econ Sch Accounting & Finance Suva Fiji Univ Fiji Sch Business & Econ Dept Management Saweni Fiji
In this study, we examine the effect of tourism on economic growth in Tonga. We apply Ghysels Beta-MIDAS approach to estimate the elasticity of tourism, identify breaks with the multiple break test, and test for causa... 详细信息
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Daily currency interventions in an emerging market: Incorporating reserve accumulation to the reaction function
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ECONOMIC MODELLING 2021年 97卷 461-476页
作者: Frommel, Michael Midilic, Murat Univ Ghent Dept Econ Sint Pieterspl 5 B-9000 Ghent Belgium
Understanding the intervention policy of central banks on currency markets is important for both practitioners and researchers. Existing models for central bank interventions exclusively focus on exchange rate targeti... 详细信息
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