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North and South: A Regional Model of the UK
We set up a two-region model to study the policy challenge of bringing the North’s income up to the level of the South in the UK. The model focuses...
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The Time-Varying Impact of External Shocks on the Consumer Price Components: Evidence from an Emerging Market
This article aims to assess the extent of oil price and exchange rate pass-through into disaggregated consumer prices in Turkey in a time-varying...
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The trade-off between ESG screening and portfolio diversification in the short and in the long run
This paper empirically investigates the performance of portfolio screening strategies based on ESG (Environmental, Social, Governance) scores, by...
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Oil Price Dynamics and Housing Demand in Oil Producing Counties in the U.S.
We assess the impact of changes in oil prices on building permit applications in the top oil-producing counties, using monthly data between 2004 and...
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An Analysis of the Sustainability Issues of U.S. Treasury Bonds—A Study Based on the Vector Error Correction Model and Trend Forecasting
Based on the fiscal and economic data of the United States from 1962 to 2022, this paper first studies and analyzes the long-term equilibrium...
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Inaccurate Value at Risk Estimations: Bad Modeling or Inappropriate Data?
Forecasting accurate Value-at-Risk (VaR) estimations is a crucial task in applied financial risk management. Even though there have been significant...
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Urbanization, informal economy, economic growth and CO2 emissions in African countries: a panel vector autoregression (PVAR) model approach
Although the relationship between urbanization, the informal economy, economic growth, and environmental degradation (CO 2 emissions) have received...
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Monetary Policy and Systemic Risk: U.S. Evidence
We assess whether monetary policymakers follow systemic risk in adjusting monetary policy for the US. over a period spanning from 1960 to 2011. We... -
Innovative Risk Early Warning Model under Data Mining Approach in Risk Assessment of Internet Credit Finance
The financial risks of commercial banks are classified and evaluated through the Internet of Things (IoT) technology and big data technology to...
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Alternative to Postface: Market Risk Transfer in Power Companies
This chapter introduces two transaction cases that include market riskMarket risk transfers. First, we discuss a liquefied natural gas (LNG)Liquefied... -
Bayesian nonlinear expectation for time series modelling and its application to Bitcoin
This paper proposes a two-stage approach to parametric nonlinear time series modelling in discrete time with the objective of incorporating...
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A simulation of the insurance industry: the problem of risk model homogeneity
We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity....
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The impact of pandemic on dynamic volatility spillover network of international stock markets
Since the beginning of the twenty-first century, several pandemics, including SARS and COVID-19, have spread faster and on a broader scale. Not only...
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Threshold Error Correction Model: A Methodological Overview
In this chapter, the methodology related to threshold error correction models is discussed. The aim of the chapter is to summarize several approaches... -
Functional shocks to inflation expectations and real interest rates and their macroeconomic effects
This paper applies a recently developed method (Inoue and Rossi, 2021) to estimate functional inflation expectations and ex-ante real interest rate...
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Benchmarking econometric and machine learning methodologies in nowcasting GDP
Nowcasting can play a key role in giving policymakers timelier insight to data published with a significant time lag, such as final GDP figures....
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Robust Portfolio Optimization Based on Semi-Parametric ARMA-TGARCH-EVT Model with Mixed Copula Using WCVaR
Portfolio returns generally follow multivariate distribution, whose effectiveness depends not only on the correct estimation of marginal...
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Climate Disasters and the Macroeconomy: Does State-Dependence Matter? Evidence for the US
Global climate is changing, and the occurrence of climate disasters has been rising. There is growing concern that climate change is expected to...
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Interest Rate Volatility and Economic Growth in Nigeria: New Insight from the Quantile Autoregressive Distributed Lag (QARDL) Model
This is a study on interest rate volatility, a crucial form of volatility which affects local and foreign investments in the real and financial...
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Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and threshold rebalancing (TR)...