Value-at-risk forecasts by dynamic spatial panel GJR-GARCH model for international stock indices portfolio
Sign Up to like & getrecommendations! Published in 2018 at "Soft Computing"
DOI: 10.1007/s00500-017-2979-7
Abstract: To provide accurate value-at-risk (VaR) forecasts for the returns of international stock indices portfolio, this paper proposes a dynamic spatial panel with generalized autoregressive conditional heteroscedastic model (DSP-GJR-GARCH). The proposed model considers the spatiotemporal dependence… read more here.
Keywords: gjr garch; model; dynamic spatial; garch ... See more keywords
Fixed effects spatial panel data models with time-varying spatial dependence
Sign Up to like & getrecommendations! Published in 2020 at "Economics Letters"
DOI: 10.1016/j.econlet.2020.109531
Abstract: Abstract To analyze the temporal variation of spatial spillover effects as well as control unobserved individual-specific features, we extend the fixed effects spatial panel data model by introducing time-varying spatial dependence. We propose a two-stage… read more here.
Keywords: varying spatial; spatial panel; effects spatial; panel data ... See more keywords
Simulating the impact of transport infrastructure investment on wages: A dynamic spatial panel model approach
Sign Up to like & getrecommendations! Published in 2019 at "Regional Science and Urban Economics"
DOI: 10.1016/j.regsciurbeco.2018.12.004
Abstract: This paper estimates the impact of a multi-billion pound investment in Britain's rail transport infrastructure, in the form of high-speed rail links, on wage levels across each of 347 districts of England and Wales. The… read more here.
Keywords: panel model; spatial panel; dynamic spatial; investment ... See more keywords
Specification Tests for Temporal Heterogeneity in Spatial Panel Data Models with Fixed Effects
Sign Up to like & getrecommendations! Published in 2020 at "Regional Science and Urban Economics"
DOI: 10.1016/j.regsciurbeco.2019.103488
Abstract: Abstract We propose adjusted quasi score (AQS) tests for testing the existence of temporal heterogeneity in slope and spatial parameters in spatial panel data (SPD) models, allowing for the presence of individual-specific and/or time-specific fixed… read more here.
Keywords: temporal heterogeneity; spatial panel; panel data; heterogeneity ... See more keywords
Modeling Airbnb demand to New York City while employing spatial panel data at the listing level
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DOI: 10.1016/j.tourman.2019.104000
Abstract: Abstract Using spatial panel data comprising a cross section of 1,461 continuously active Airbnb listings obtained from AirDNA, as well as time series data from NYC and Company and the OECD covering the time period… read more here.
Keywords: panel data; city; york city; new york ... See more keywords
Entrepreneurship and income inequality: a spatial panel data analysis
Sign Up to like & getrecommendations! Published in 2018 at "International Review of Applied Economics"
DOI: 10.1080/02692171.2017.1342776
Abstract: Abstract The main objective of this paper is to empirically analyze the relationship between entrepreneurship and income inequality. We use a spatial panel data analysis for both 33 high-income countries and 39 middle- and low-income… read more here.
Keywords: entrepreneurship income; income; analysis; spatial panel ... See more keywords
Estimation of partially specified spatial panel data models with fixed-effects
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DOI: 10.1080/07474938.2015.1113641
Abstract: ABSTRACT This article extends the spatial panel data regression with fixed-effects to the case where the regression function is partially linear and some regressors may be endogenous or predetermined. Under the assumption that the spatial… read more here.
Keywords: panel data; partially specified; estimation partially; fixed effects ... See more keywords
Parameter estimation of the spatial panel stochastic frontier model with random effects
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DOI: 10.1080/13504851.2019.1613491
Abstract: ABSTRACT This study has two objectives. First, it aims to construct a spatial panel stochastic frontier model with random effects based on the Cliff and Ord-type spatial panel model. Second, it proposes a parameter estimation… read more here.
Keywords: panel stochastic; model; stochastic frontier; spatial panel ... See more keywords
The Growth Volatility Relationship: A Spatial Panel Analysis of the States of India
Sign Up to like & getrecommendations! Published in 2022 at "Journal of South Asian Development"
DOI: 10.1177/09731741221094654
Abstract: The impressive growth rate of the Indian economy and the subsequent signs of slowdown in the last few years have warranted the need to revisit the issue of determinants of growth. While most of the… read more here.
Keywords: states india; growth; volatility; analysis ... See more keywords
Effects of transboundary PM2.5 transported from China on the regional PM2.5 concentrations in South Korea: A spatial panel-data analysis
Sign Up to like & getrecommendations! Published in 2023 at "PLOS ONE"
DOI: 10.1371/journal.pone.0281988
Abstract: This study identifies causal links between a high-PM2.5 episode in Korea and air pollutants originating from China during a high-PM2.5 episode that occurred in Korea between February 23 and March 12, 2019. Datasets on ground-based… read more here.
Keywords: pm2 concentration; panel data; china; pm2 ... See more keywords
Maternal Health and Green Spaces in China: A Longitudinal Analysis of MMR Based on Spatial Panel Model
Sign Up to like & getrecommendations! Published in 2019 at "Healthcare"
DOI: 10.3390/healthcare7040154
Abstract: The positive impact of green spaces on public health has attracted increasing attention, and maternal health has also been shown to be related to green spaces. However, there are different kinds of green space indicators… read more here.
Keywords: health green; green spaces; health; spatial panel ... See more keywords