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Статті в журналах з теми "Volatility impulse response functions"
Jin, Xiaoye, Sharon Xiaowen Lin, and Michael Tamvakis. "Volatility transmission and volatility impulse response functions in crude oil markets." Energy Economics 34, no. 6 (November 2012): 2125–34. http://dx.doi.org/10.1016/j.eneco.2012.03.003.
Повний текст джерелаLe Pen, Yannick, and Benoît Sévi. "Volatility transmission and volatility impulse response functions in European electricity forward markets." Energy Economics 32, no. 4 (July 2010): 758–70. http://dx.doi.org/10.1016/j.eneco.2009.12.003.
Повний текст джерелаJin, Xiaoye. "Volatility transmission and volatility impulse response functions among the Greater China stock markets." Journal of Asian Economics 39 (August 2015): 43–58. http://dx.doi.org/10.1016/j.asieco.2015.05.004.
Повний текст джерелаPanopoulou, Ekaterini, and Theologos Pantelidis. "Integration at a cost: evidence from volatility impulse response functions." Applied Financial Economics 19, no. 11 (June 2009): 917–33. http://dx.doi.org/10.1080/09603100802112300.
Повний текст джерелаHassan, Fatin Aminah. "Dynamic Shocks of Crude Oil Price and Exchange Rate on Food Prices in Emerging Countries of Southeast Asia: A Panel Vector Autoregression Model." Asian Journal of Economic Modelling 10, no. 2 (June 15, 2022): 108–23. http://dx.doi.org/10.55493/5009.v10i2.4517.
Повний текст джерелаOlson, Eric, Andrew J. Vivian, and Mark E. Wohar. "The relationship between energy and equity markets: Evidence from volatility impulse response functions." Energy Economics 43 (May 2014): 297–305. http://dx.doi.org/10.1016/j.eneco.2014.01.009.
Повний текст джерелаRahman, Sajjadur, and Apostolos Serletis. "THE ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS." Macroeconomic Dynamics 15, S3 (November 2011): 437–71. http://dx.doi.org/10.1017/s1365100511000204.
Повний текст джерелаDjedović, Edin, and Irfan Djedović. "IMPACT OF CONVENTIONAL STOCK MARKET INDEX ON ISLAMIC STOCK MARKET INDEX IN BOSNIA AND HERZEGOVINA." Journal Human Research in Rehabilitation 9, no. 1 (April 2019): 73–81. http://dx.doi.org/10.21554/hrr.041909.
Повний текст джерелаOkoli, Tochukwu Timothy, Devi Datt Tewari, and Ajibola Rhodaoluwafisayomi. "The Relationship between Oil Price Volatility and Macroeconomic Variables in Nigeria: A Vector Autoregressive (VAR) Approach." Journal of Economics and Behavioral Studies 9, no. 6(J) (January 15, 2018): 237–51. http://dx.doi.org/10.22610/jebs.v9i6(j).2020.
Повний текст джерелаOkoli, Tochukwu Timothy, Devi Datt Tewari, and Ajibola Rhodaoluwafisayomi. "The Relationship between Oil Price Volatility and Macroeconomic Variables in Nigeria: A Vector Autoregressive (VAR) Approach." Journal of Economics and Behavioral Studies 9, no. 6 (January 15, 2018): 237. http://dx.doi.org/10.22610/jebs.v9i6.2020.
Повний текст джерелаДисертації з теми "Volatility impulse response functions"
Barros, Francisco JuscÃlio de. "The volatility of the exchange rate affects the Cearà exports?" Universidade Federal do CearÃ, 2014. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=11473.
Повний текст джерелаO objetivo deste trabalho à entender como a volatilidade da taxa de cÃmbio afeta as exportaÃÃes cearenses. Diversos autores tÃm apontado que uma volatilidade da taxa de cÃmbio mais elevada pode estar associada a fatores de risco de exportaÃÃo e importaÃÃo. Dessa forma, entender o relacionamento entre esses componentes à fundamental para aumentar o poder de previsibilidade, especialmente, em perÃodos de instabilidade econÃmica, em que a volatilidade da taxa de cÃmbio tende a ser maior. Nesse trabalho, utilizou-se de dados com frequÃncia mensal entre 2002 a 2012. Duas anÃlises foram feitas: uma de curto prazo, atravÃs da abordagem de funÃÃes impulso resposta obtidas a partir de um VEC e outra de longo prazo atravÃs do teste de cointegraÃÃo de Johansen (1991). Dos resultados encontrados, verificou-se que a volatilidade da taxa de cÃmbio tem efeito sobre as exportaÃÃes cearenses tanto no curto quanto no longo prazo. Ambos, longo e curto prazo, a volatilidade da taxa de cambio reduz o quantum exportado, indicando que tal volatilidade pode ser interpretada como risco associado as exportaÃÃes.
Bisová, Sára. "Modely vývoje inflace a její volatility v ČR." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73484.
Повний текст джерелаDELLA, NOCE MATTEO. "Un modello VAR-GARCH multivariato per il mercato elettrico italiano." Doctoral thesis, Università Cattolica del Sacro Cuore, 2011. http://hdl.handle.net/10280/1108.
Повний текст джерелаIt is commonly known that spot electricity markets show mean-reversion and high price volatility. This work employs a VAR-MGARCH model to capture these features in the Italian electricity market (IPEX) and analyze the interrelation existing among the different regions in which the market is divided. Daily spot prices from 1 January 2006 to 31 December 2008 are employed. The estimated coefficients from the conditional mean equations indicate that the regional markets are quite integrated and regional electricity prices could be usefully forecasted using lagged prices from either the same market or from the other areal markets. Volatility and cross-volatility spill-overs are significant for all markets, indicating the presence of strong ARCH and GARCH effects and market inefficiency. Strong persistence of volatility and cross-volatility are also evident in all local markets. The results also indicate that volatility innovations or shocks in all markets persist over time and that in every market this persistence is more marked for own-innovations or shocks than cross-innovations or shocks. This persistence captures the propensity of price changes of similar magnitude to cluster in time.
Bishop, Carlton Delos. "Finite impulse response filter design using cosine series functions." Doctoral diss., University of Central Florida, 1988. http://digital.library.ucf.edu/cdm/ref/collection/RTD/id/43377.
Повний текст джерелаWindow functions have been extensively used for the design of SAW filters. The classical truncated cosine series functions, such as the Hamming and Blackmann functions, are only a few of an infinite set of such functions. The derivation of this set of functions from orthonormal basis sets and the criteria for obtaining the constant coefficients of the functions are presented. These functions are very useful because of the closed-form expressions and their easily recognizable Fourier transform. Another approach to the design of Gaussian shaped filters having a desired sidelobe level using a 40 term cosine series will be presented as well. This approach is again non-iterative and a near equi-ripple sidelobe level filter could be achieved. A deconvolution technique will also be presented. this has the advantage of being non-iterative, simple and fast. This design method produces results comparable to the Dolph-Chebyshev technique.
Ph.D.
Doctorate
Electrical Engineering and Communication
Engineering
Electrical Engineering
41 p.
vii, 41 leaves, bound : ill. ; 28 cm.
Schulte, Walter B. "The frequency response, impulse response, and transfer function of an ocean waveguide /." Monterey, Calif. : Springfield, Va. : Naval Postgraduate School ; Available from National Technical Information Service, 2004. http://library.nps.navy.mil/uhtbin/hyperion/04Jun%5FSchulte.pdf.
Повний текст джерелаThesis advisor(s): Lawrence J. Ziomek. Includes bibliographical references (p. 47). Also available online.
Schulte, Walter B. III. "The frequency response, impulse response, and transfer function of an ocean waveguide." Thesis, Monterey, California. Naval Postgraduate School, 2004. http://hdl.handle.net/10945/1516.
Повний текст джерелаIn this thesis, the ocean was modeled as a waveguide with an ideal pressure - release surface, and an ideal rigid bottom. The ocean waveguide was then treated as a linear, time - invariant, space - variant (TISV) filter or communication channel. The filter is time - invariant because no motion was modeled and because the properties of the ocean were assumed to be constant. The filter is space - variant because of the presence of the two boundaries, that is, the ocean surface and ocean bottom. This thesis investigates the ocean as a linear TISV filter by evaluating 1) the complex frequency response, 2) the impulse response, and 3) the transfer function of the ocean with respect to depth. It is shown that the TISV impulse response of the ocean contains information that can be used to help localize a target in range and whether the target is above or below the receiver. Computer simulation results were obtained by evaluating the three filter functions for several different test cases.
Ensign, United States Navy
Mitchell, James. "Identification and estimation of impulse response functions in VAR models : analysing monetary shocks in the G7 economies." Thesis, University of Cambridge, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.621674.
Повний текст джерелаAntonakakis, Nikolaos, and Harald Badinger. "Economic growth, volatility, and cross-country spillovers: new evidence for the G7 countries." Elsevier, 2016. http://dx.doi.org/10.1016/j.econmod.2015.08.035.
Повний текст джерелаEksi, Ozan. "Lower Volatility, Higher Inequality: Are They Related?" Doctoral thesis, Universitat Pompeu Fabra, 2010. http://hdl.handle.net/10803/7420.
Повний текст джерелаEsta tesis está dividida por tres capítulos. En el primer capítulo, llevo al interés que hay una relación fundamental entre la desigualdad de ingresos y la volatilidad de PBI. Doy pruebas teóricas para esta relación, así como empíricas de una muestra de países industrializados. En el segundo capítulo, sugiero que mejor que la desigualdad agregada, la tasa de crecimiento media de dentro de desigualdades de cohorte debería estar usada en las estimaciones de regresión que relaciona la desigualdad con las variables del interés. Entonces trato de explorar el efecto del comercio internacional en la desigualdad en los EE.UU y en el Reino Unido a la luz de mis conclusiones. En el último capítulo, realizo un estudio de Monte Carlo para comparar la eficiencia de la Correspondencia de respuesta de Impulso y peritos GMM en la identificación de los coeficientes de forma reducidos y parámetros estructurales en un modelo de DSGE.
Jonéus, Paulina. "The more the merrier? On the performance of factor-augmented models." Thesis, Uppsala universitet, Statistiska institutionen, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-256760.
Повний текст джерелаКниги з теми "Volatility impulse response functions"
Potter, Simon M. Nonlinear impulse response functions. [New York, N.Y.]: Federal Reserve Bank of New York, 1999.
Знайти повний текст джерелаKatzman, Brett. Optimal monetary impulse-response functions in a matching model. Cambridge, MA: National Bureau of Economic Research, 1999.
Знайти повний текст джерелаKatzman, Brett. Optimal monetary impulse-response functions in a matching model. [Minneapolis, Minn.]: Federal Reserve Bank of Minneapolis, 1999.
Знайти повний текст джерелаVlaar, P. J. G. On the asymptotic distribution of impulse response functions with long run restrictions. Amsterdam: De Nederlandsche Bank, 1998.
Знайти повний текст джерелаFrey, Douglas, Rangaraj M. Rangayyan, and Victor Coelho. Acoustical Impulse Response Functions. Morgan & Claypool Publishers, 2013.
Знайти повний текст джерелаFrey, Douglas, Rangaraj M. Rangayyan, and Victor Coelho. Acoustical Impulse Response Functions of Music Performance Halls. Morgan & Claypool Publishers, 2013.
Знайти повний текст джерелаFrey, Douglas, Rangaraj Rangayyan, and Victor Coelho. Acoustical Impulse Response Functions of Music Performance Halls. Springer International Publishing AG, 2013.
Знайти повний текст джерелаAcoustical Impulse Response Functions Of Music Performance Halls. Morgan & Claypool, 2013.
Знайти повний текст джерелаSaborowski, Christian, and Sebastian Weber. Assessing the Determinants of Interest Rate Transmission Through Conditional Impulse Response Functions. International Monetary Fund, 2013.
Знайти повний текст джерелаSaborowski, Christian, and Sebastian Weber. Assessing the Determinants of Interest Rate Transmission Through Conditional Impulse Response Functions. International Monetary Fund, 2013.
Знайти повний текст джерелаЧастини книг з теми "Volatility impulse response functions"
van der Seijs, M. V., P. L. C. van der Valk, T. van der Horst, and D. J. Rixen. "Towards Dynamic Substructuring Using Measured Impulse Response Functions." In Dynamics of Coupled Structures, Volume 1, 73–82. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-04501-6_6.
Повний текст джерелаFormenti, David L., David Ottman, and Mark H. Richardson. "Using Impulse Response Functions to Evaluate Baseball Bats." In Structural Dynamics, Volume 3, 1461–66. New York, NY: Springer New York, 2011. http://dx.doi.org/10.1007/978-1-4419-9834-7_129.
Повний текст джерелаRixen, Daniel J. "Substructuring using Impulse Response Functions for Impact Analysis." In Structural Dynamics, Volume 3, 637–46. New York, NY: Springer New York, 2011. http://dx.doi.org/10.1007/978-1-4419-9834-7_56.
Повний текст джерелаPolasek, Wolfgang, and Ren Lei. "Generalized Impulse Response Functions for VAR-GARCH-M Models." In Data Analysis, 299–311. Berlin, Heidelberg: Springer Berlin Heidelberg, 2000. http://dx.doi.org/10.1007/978-3-642-58250-9_24.
Повний текст джерелаFrey, Douglas, Rangaraj M. Rangayyan, and Victor Coelho. "Evaluation of Results." In Acoustical Impulse Response Functions of Music Performance Halls, 69–81. Cham: Springer International Publishing, 2013. http://dx.doi.org/10.1007/978-3-031-02565-5_6.
Повний текст джерелаFrey, Douglas, Rangaraj M. Rangayyan, and Victor Coelho. "Introduction." In Acoustical Impulse Response Functions of Music Performance Halls, 1–3. Cham: Springer International Publishing, 2013. http://dx.doi.org/10.1007/978-3-031-02565-5_1.
Повний текст джерелаFrey, Douglas, Rangaraj M. Rangayyan, and Victor Coelho. "Convolution and Filtering." In Acoustical Impulse Response Functions of Music Performance Halls, 37–55. Cham: Springer International Publishing, 2013. http://dx.doi.org/10.1007/978-3-031-02565-5_4.
Повний текст джерелаFrey, Douglas, Rangaraj M. Rangayyan, and Victor Coelho. "A Review of Acoustic Measurement Techniques." In Acoustical Impulse Response Functions of Music Performance Halls, 5–15. Cham: Springer International Publishing, 2013. http://dx.doi.org/10.1007/978-3-031-02565-5_2.
Повний текст джерелаLiu, J. M., Weidong D. Zhu, Q. H. Lu, and G. X. Ren. "An Efficient Iterative Algorithm for Accurately Calculating Impulse Response Functions." In Topics in Modal Analysis I, Volume 5, 113–25. New York, NY: Springer New York, 2012. http://dx.doi.org/10.1007/978-1-4614-2425-3_12.
Повний текст джерелаXu, Hecong, Xiaolei Xu, Zhen Wu, Haifeng Guo, Yuxi Zhang, and Hongzhi Wang. "A Study on Bitcoin Price Volatility Based on the SVAR Model and Impulse Response Analysis." In Communications in Computer and Information Science, 214–25. Singapore: Springer Singapore, 2021. http://dx.doi.org/10.1007/978-981-16-7993-3_17.
Повний текст джерелаТези доповідей конференцій з теми "Volatility impulse response functions"
Allen, David, Michael McAleer, Robert Powell, and Abhay Singh. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events." In 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017). Paris, France: Atlantis Press, 2017. http://dx.doi.org/10.2991/icefs-17.2017.9.
Повний текст джерелаXu, Y. F., and W. D. Zhu. "Efficient and Accurate Calculation of Discrete Frequency Response Functions and Impulse Response Functions." In ASME 2015 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. American Society of Mechanical Engineers, 2015. http://dx.doi.org/10.1115/detc2015-47779.
Повний текст джерелаde Moraes, Francisco José Vicente, and Hans Ingo Weber. "Deconvolution by Wavelets for Extracting Impulse Response Functions." In ASME 1997 Design Engineering Technical Conferences. American Society of Mechanical Engineers, 1997. http://dx.doi.org/10.1115/detc97/vib-4136.
Повний текст джерелаMeyer-Kahlen, Nils, and Sebastian J. Schlecht. "Blind Directional Room Impulse Response Parameterization from Relative Transfer Functions." In 2022 International Workshop on Acoustic Signal Enhancement (IWAENC). IEEE, 2022. http://dx.doi.org/10.1109/iwaenc53105.2022.9914706.
Повний текст джерела"A volatility impulse response analysis applying multivariate GARCH models and news events around the GFC." In 21st International Congress on Modelling and Simulation (MODSIM2015). Modelling and Simulation Society of Australia and New Zealand, 2015. http://dx.doi.org/10.36334/modsim.2015.e4.allen.
Повний текст джерелаDahl, Tobias, Bjorn Syversrud, and Sverre Holm. "Source Enhancement and Suppression with Binaural Head Related Impulse Response Functions." In Proceedings of the 7th Nordic Signal Processing Symposium - NORSIG 2006. IEEE, 2006. http://dx.doi.org/10.1109/norsig.2006.275290.
Повний текст джерелаribeiro, sidney, Gabriela Oliveira, and Gilmar Guimaraes. "ANALITYCAL IMPULSE RESPONSE IDENTIFICATION FOR A MOVING HEAT SOURCE PROBLEM USING GREEN’S FUNCTIONS." In 25th International Congress of Mechanical Engineering. ABCM, 2019. http://dx.doi.org/10.26678/abcm.cobem2019.cob2019-1388.
Повний текст джерелаTuma, Martin, and Pavel Jura. "Impulse response approximation of dead time LTI SISO systems using generalized Laguerre functions." In CENTRAL EUROPEAN SYMPOSIUM ON THERMOPHYSICS 2019 (CEST). AIP Publishing, 2019. http://dx.doi.org/10.1063/1.5114317.
Повний текст джерелаRobertson, A. N., K. C. Park, and K. F. Alvin. "Identification of Structural Dynamics Models Using Wavelet-Generated Impulse Response Data." In ASME 1995 Design Engineering Technical Conferences collocated with the ASME 1995 15th International Computers in Engineering Conference and the ASME 1995 9th Annual Engineering Database Symposium. American Society of Mechanical Engineers, 1995. http://dx.doi.org/10.1115/detc1995-0380.
Повний текст джерелаRobertson, A. N., K. C. Park, and K. F. Alvin. "Extraction of Impulse Response Data via Wavelet Transform for Structural System Identification." In ASME 1995 Design Engineering Technical Conferences collocated with the ASME 1995 15th International Computers in Engineering Conference and the ASME 1995 9th Annual Engineering Database Symposium. American Society of Mechanical Engineers, 1995. http://dx.doi.org/10.1115/detc1995-0379.
Повний текст джерелаЗвіти організацій з теми "Volatility impulse response functions"
Katzman, Brett, John Kennan, and Neil Wallace. Optimal Monetary Impulse-Response Functions in a Matching Model. Cambridge, MA: National Bureau of Economic Research, November 1999. http://dx.doi.org/10.3386/w7425.
Повний текст джерелаRahmani, Mehran, and Manan Naik. Structural Identification and Damage Detection in Bridges using Wave Method and Uniform Shear Beam Models: A Feasibility Study. Mineta Transportation Institute, February 2021. http://dx.doi.org/10.31979/mti.2021.1934.
Повний текст джерелаRahmani, Mehran, Xintong Ji, and Sovann Reach Kiet. Damage Detection and Damage Localization in Bridges with Low-Density Instrumentations Using the Wave-Method: Application to a Shake-Table Tested Bridge. Mineta Transportation Institute, September 2022. http://dx.doi.org/10.31979/mti.2022.2033.
Повний текст джерелаFinancial Stability Report - Second Semester of 2020. Banco de la República de Colombia, March 2021. http://dx.doi.org/10.32468/rept-estab-fin.sem2.eng-2020.
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