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Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm: 《Financial Innovation》2024年第1期1734-1761,共28页Mahmut Bagci Pınar Kaya Soylu; We propose a high-frequency rebalancing algorithm(HFRA)and compare its performance with periodic rebalancing(PR)and threshold rebalancing(TR)strategies.PR refers to the process of adjusting the relative weight of asse...; 关键词：Algorithmic trading Pair trading Rebalancing algorithm Crypto-assets VOLATILITY COINTEGRATION

On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises:Estimation and Testing: 《Communications in Mathematical Research》2024年第1期64-101,共38页Chor-yiu Sin Zichuan Mi Shiqing Ling; This paper studies a partially nonstationary vector autoregressive(VAR)model with vector GARCH noises.We study the full rank and the reduced rank quasi-maximum likelihood estimators(QMLE)of parameters in the model.It ...; 关键词：Vector AR model COINTEGRATION full rank estimation vector GARCH process partially nonstationary reduced rank estimation

Exploring the moderating role of financial development in environmental Kuznets curve for South Africa:fresh evidence from the novel dynamic ARDL simulations approach被引量：3: 《Financial Innovation》2023年第1期79-130,共52页Maxwell Chukwudi Udeagha Marthinus Christoffel Breitenbach; The extant literature has produced mixed evidence on the relationship between finan-cial development and ecological sustainability.This work addresses this conundrum by investigating financial development’s direct an...; 关键词：Financial development Trade openness CO_(2)emissions Dynamic ARDL simulations Energy consumption EKC COINTEGRATION Economic growth Foreign direct investment Industrial value-added South Africa

Revisiting the nexus between fiscal decentralization and CO_(2)emissions in South Africa:fresh policy insights被引量：1: 《Financial Innovation》2023年第1期1384-1429,共46页Maxwell Chukwudi Udeagha Marthinus Christoffel Breitenbach; The argument over fiscal decentralization and carbon dioxide emission(CO_(2))reduction has received much attention.However,evidence to back this claim is limited.Economic theory predicts that fiscal decentralization a...; 关键词：Fiscal decentralization Trade openness CO_(2)emissions Dynamic ARDL simulations Energy consumption EKC COINTEGRATION Economic growth Industrial value-added South Africa

Multi-temporal relations between runoff and sediment load based on variable structure cointegration theory被引量：1: 《International Journal of Sediment Research》2023年第2期216-227,共12页Honglin Xiao Jinping Zhang; supported by the National Key Research and Development Program of China(Grant No.2021YFC3200205);the Natural Science Foundation of Henan Province(Grant No.212300410404);Open Grants of the State Key Laboratory of Severe Weather(Grant No.2021LASW-A15);Scientific and Technologic Research Program of Henan Province(Grant No.192102310508);Outstanding Young Talent Research Fund of Zhengzhou University(Grant No.1521323002)。; Microscopic and macroscopic multi-temporal correlations between runoff and sediment load were analyzed to reveal the relations between them in the source region of the Yellow River using the complete ensemble empirica...; 关键词：RUNOFF Sediment load Variable structure cointegration Intrinsic mode function Unit root test

Electricity Consumption-Economic Growth Linkage:Revisited Evidence From Uganda: 《Journal of US-China Public Administration》2023年第2期111-126,共16页Grace Alinaitwe; We extend our gratitude to the“Capacity Building in Education and Research for Economic Governance in Uganda”,between Makerere University Business School(MUBS)and the Norwegian University of Life Sciences(NMBU)Norway,which is funded by the Norwegian Agency for Development Cooperation(NORAD),through the Norwegian Programme for Capacity-Building in Higher Education and Research for Development(NORHED)(Contract number:QZA-0486-13/0017)。; This study examines the economic growth-electricity linkage in Uganda while controlling for some major determinants of economic growth by employing quarterly data from 2008Q1-2021Q3 using the Auto Regressive Distribut...; 关键词：COINTEGRATION ARDL Model energy efficiency

The Impact of International Trade on Economic Growth: 《Journal of Modern Accounting and Auditing》2020年第11期485-502,共18页Mashael Eid Alotaibi Mariah Ali Almohaimeed Wjdan Mohammed Alharbi; This paper investigates the impact of international trade on the economic growth of Saudi Arabia for the period 1980-2018.The investigation was conducted through Dickey-Fuller(1979)and Phillips-Perron(1988)tests of in...; 关键词：international trade economic growth COINTEGRATION

Impact of Sub-Economic on Money Supply in Nigeria: An Autoregressive Distribution Lag (ARDL) Approach: 《Open Journal of Statistics》2020年第3期375-401,共27页Yasin Abdelhaleem Yasin Abuhabel Samuel Olayemi Olanrewaju; The escalation in dollar rates and the price instability in the Nigerian economy went through some significant structural and institutional changes such as the liberalization of the external trade, the elimination of ...; 关键词：Sub-Economy Money Supply ARDL COINTEGRATION Error Correction Model

Cointegration between macroeconomic factors and the exchange rate USD/CNY: 《Financial Innovation》2019年第1期76-90,共15页Muhammad Kamran Khan Jian-Zhou Teng Muhammad Imran Khan; This research paper investigates the effect of macroeconomic variables on the exchange rate USD/CYN using yearly time series data for China economy from 1980 to 2017.ARDL bounds test approach for cointegration is appl...; 关键词：Exchange rate Macroeconomic factors ARDL

The interaction between stock prices and interest rates in Turkey:empirical evidence from ARDL bounds test cointegration被引量：1: 《Financial Innovation》2019年第1期110-121,共12页Turgut Tursoy; This paper demonstrates a significant,long-running relationship between stock prices and domestic interest rates in Turkey’s financial markets for the period of 2001 M1-2017 M4.Cointegration analysis is investigated ...; 关键词：Stock price Interest rates COINTEGRATION ARDL VAR

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