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Cross country comparison and performance of model selection techniques for bounds test of cointegration: Evidence from brıcs countries
(, Pazıl Reklam Danışmanlık Matbaa ve Organizasyon Ltd. Şti., 2019)
Only unstructured single path model selection techniques i.e. Information Criteria are used by Bounds test for plausible model selection. This paper evaluates the performance of these five routinely used information criteria ...
Effect of monetary policy on the Nigerian stock market: A smooth transition autoregressive approach
(, Central Bank of Nigeria, 2021)
This paper examines the nonlinear effect of monetary policy decisions on the performance of the Nigerian Stock Exchange market, by employing the Smooth Transition Autoregressive (STAR) model on monthly data from 2013 M4 ...
The impact of US sanctions on the Consumer Price Index (CPI) of Turkey
(, Academy of Economic Studies, 2021)
This paper addresses the assessment of effect of the sanctions imposed on Turkey by the United States of America in the year 2018 on the Consumer Price Index (CPI) of Turkey. The study used a cross sectional data from the ...
Survival of the fittest: A natural experiment from crypto exchanges
(, World Scientific Publishing, 2021)
This paper explores the applicability of universal cryptocurrency exchange by analyzing crypto exchanges of Binance, Latoken, Kucoin and Qash, which also have their own cryptocurrencies in the crypto market. Results of the ...
Most stringent test of null of cointegration: A Monte Carlo comparison
(, Taylor & Francis, 2019)
To test for the existence of long run relationship, a variety of null of cointegration tests have been developed in literature. This study is aimed at comparing these tests on basis of size and power using stringency ...
Bitcoin and altcoins price dependency: Resilience and portfolio allocation in COVID-19 outbreak
(, MDPI, 2021)
The main aim of this article is to examine the inter-relationships among the top cryptocurrencies on the crypto stock market in the presence and absence of the COVID-19 pandemic. The nine chosen cryptocurrencies are Bitcoin, ...
On the ranks of tests having null of cointegration: A Monte Carlo comparison
(, Research Center Public ADM & Public Service, 2020)
The null of cointegration tests for testing the existence of cointegration are available in literature in great diversity. The selection of a particular test from all these available tests is the crucial problem and often ...