Abstract This paper aims to model the joint dynamics of cryptocurrencies in a nonstationary setting. In particular, we analyze role cointegration relationships within large system vector error correction (VECM) framework. To enable analysis dynamic setting, propose COINtensity VECM, nonlinear VECM specification accounting for varying systemwide exposure. Our results show that are indeed cointeg...

برای دستیابی به مزیت رقابتی در شرایط عدم‌­اطمینان که آن تغییر ضروری است، یکی از چالش‌های بزرگ سازمان‌ها کاهش ریسک طریق ایجاد زنجیره‌های تأمین تاب‌آور است. تاب‌آوری زنجیره ‌تأمین توانایی مقابله با اختلال اشاره دارد یک رویداد غیرقابل‌پیش‌بینی بوده و دارای منابع داخلی خارجی مختلفی ازجمله بلایای طبیعی ریسک‌های عملیاتی پژوهش حاضر شبیه‌سازی توسط نرم‌افزار ارنا زنجیره‌ سنگ ساختمانی «کارخانه سنگبری آسم...

Along with the growth of marine tourism industry, number global cruise tourists is rapidly increasing; competition among regions to attract increasing. The current study aims verify that industry can be sustainable through its inherent power for long-term balanced convergence within and flexibly respond external shocks such as COVID-19. This applies Vector Error Correction Model (VECM) estimate...

This paper studies the dynamic relationship among futures price, spot price of Shanghai metal and futures price of London with the co-integration theory, Granger causality tests, residue analysis, impulse responses function, and variance decomposition on the VECM. The study shows the three have the long equilibrium relationship: the copper futures price of Shanghai have internalities to the fut...

This research study examined the effect of foreign remittances and economic growth on poverty in Pakistan. Annual time series data was analyzed for the time period 1978 to 2010. Augmented Dickey-Fuller and Philips-Perron confirmed the problem of non-stationarity at level. This problem was eliminated by taking first difference of all variables. Johansen-juselius co-integration test was applied f...

The purpose of this study is to investigate the factors that affect real exchange rate volatility for Pakistan through the co-integration and error correction model over a 30-year time period, i.e. between 1980 and 2010. The study employed the autoregressive conditional heteroskedasticity (ARCH), generalized autoregressive conditional heteroskedasticity (GARCH) and Vector Error Correction model...

This study considers the forecasting of mortality rates in multiple populations. We propose a model that combines mortality forecasting and functional data analysis (FDA). Under the FDA framework, the mortality curve of each year is assumed to be a smooth function of age. As with most of the functional time series forecasting models, we rely on functional principal component analysis (FPCA) for...

Throughout history, investors have attempted to determine the future states and prices of instruments that they consider to invest in. Thus, various econometric models have been developed in order to determine the variables influencing the prices of investment instruments, as well as the relationships between such variables. The main aim of the present study was to examine the variables that ma...