Dynamic Factor Models for Multi- variate Count Data: An Application to Stock-Market Trading Activity. Journal of Business and Economic Statistics 29 (1), 73-85.Jung, R. C., Liesenfeld, R., and Richard, J. F. (2011). Dynamic Factor Models for Multivariate Count Data: An Application to ...
Dynamic Factor Models for Multi- variate Count Data: An Application to Stock-Market Trading Activity. Journal of Business and Economic Statistics 29 (1), 73-85.Jung, R.C., Liesenfeld, R., Richard, J.F. (2011). Dynamic factor models for multivariate count data: an application to stock-...
DW is the Durbin–Watson statistics tests the presence of autocorrelation. As a rule of thumb the DW d value between 1.5 and 2.5 show the absence of autocorrelation in the data. JB is the Jarque and Bera test of normality of residuals; Q(p) is the Ljung–Box test for residual ...
The government of any country can play a great role in promoting economic and environmental policy reforms in both normal and crisis periods, but during the crisis period, the role of the government should take the economy into a recovery position. The stock market is the backbone of the finan...
this number fell below a limit (e.g. Chakravorty & Atwater, 1996; Watson & Patti2008). In general, we can always express inventory and time buffers as either inventories or flow times (Land et al.2021). A drum schedule is used to determine the sequence in which orders are considered fo...
Stock, J.H.; Watson, M.W. Forecasting output and inflation: The tole of asset prices. J. Econ. Lit. 2003, XLI, 788–829. [Google Scholar] [CrossRef] Salisu, A.A.; Lasisi, L.; Tchankam, J.P. Historical geopolitical risk and the behaviour of stock returns in advanced economies. ...
By their definition, h-period ahead uncertainty J. Risk Financial Manag. 2019, 12, 5 3 of 16 (Utz(h)) in the macroeconomic indicator zt(zit ∈ Zt = (z1t, z2t, . . . , zNt) ) depends on the purely unforecastable component of the future value of this variable: Utz(h) = E ...
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H.S. Gordon The economic theory of a common property resource: the fishery J. Polit. Econ., 62 (1954), pp. 124-142 Google Scholar [11] M.J. Wilberg, J. Thorson, B.C. Linton, J. Berkson Incorporating time-varying catchability into population dynamic assessment models Rev. Fish. Sci...
Many interpretations and developments of the Financial Instability Hypothesis (FIH) rely on aggregate leverage ratio indicators to proxy non-financial firm