Zobrazeno 1 - 10
of 564
pro vyhledávání: '"permanent-transitory decomposition"'
Autor:
Casoli, Chiara1 (AUTHOR) chiara.casoli@feem.it, Lucchetti, Riccardo (Jack)2 (AUTHOR) r.lucchetti@univpm.it
Publikováno v:
Econometrics Journal. May2022, Vol. 25 Issue 2, p494-514. 21p.
Publikováno v:
In Quarterly Review of Economics and Finance February 2018 67:175-190
Akademický článek
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Publikováno v:
Oxford Bulletin of Economics & Statistics. Sep2000, Vol. 62 Issue 4, p511. 22p. 2 Charts, 5 Graphs.
Publikováno v:
The Econometrics Journal. 25:494-514
Summary We propose a cointegration-based Permanent-Transitory decomposition for nonstationary dynamic factor models (DFMs). Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a common an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e99afddbcc47cbf534813df32f500907
https://doi.org/10.1093/ectj/utab034
https://doi.org/10.1093/ectj/utab034
Autor:
Shirvani, Hassan, Wilbratte, Barry
Publikováno v:
In Quarterly Review of Economics and Finance 2007 47(2):352-365
Autor:
Ariño, Miguel A., Marmol, Francesc *
Publikováno v:
In Journal of Statistical Planning and Inference 2004 124(1):87-97
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::48a46fed2fbc22ef6a9236ac1dedd0ac
https://doi.org/10.2139/ssrn.3885525
https://doi.org/10.2139/ssrn.3885525
Publikováno v:
The Quarterly Review of Economics and Finance. 67:175-190
We use a permanent-transitory decomposition to provide new econometric evidence on long-run and short-run relationships between oil prices, producer prices and consumer prices. Results support cointegration and suggest a single common I(1) factor dri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ba7df6cc1a545de1442c860e63a59b22
https://doi.org/10.1016/j.qref.2017.06.005
https://doi.org/10.1016/j.qref.2017.06.005
Autor:
Barry Wilbratte, Hassan Shirvani
Publikováno v:
The Quarterly Review of Economics and Finance. 47:352-365
This paper tests for the presence of common stochastic trends and cycles in the stock prices of the G7 countries. It further uses the existing common trends and cycles to provide a parsimonious decomposition of the stock prices into their permanent a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ff194608fcb741294cbf7d006af2a765
https://doi.org/10.1016/j.qref.2005.10.001
https://doi.org/10.1016/j.qref.2005.10.001