Abstract In view of the recent pandemic and its associated impact, this study examines relationship between e-commerce mobile/electronic payment markets by utilizing two indices as proxies these market developments. The employed DCC-GARCH modeling, Hacker–Hatemi bootstrap causality test, Diebold–Yilmaz volatility spillover analysis a modeling incorporating COVID19 related death statistics three...

This paper introduces new ways to construct probability integral transforms of random vectors that complement the approach of Diebold, Hahn, and Tay (1999) for evaluating multivariate conditional density forecasts. Our approach enables us to “scan” multivariate densities in various different ways. A simple bivariate normal example is given that illustrates how “scanning” a multivariate density ...

As a prefatory remark, I should note that I initially hesitated to present this paper because it names vendors and describes long-standing problems with some of their products. But there is no way around this. If we cannot speak about real systems and real threats here, where can we speak about them? In any event, while products made by Diebold feature prominently here, they are not the only ve...

The price range, defined as the difference between the highest and lowest log asset prices over a fixed sampling interval (for concreteness, we focus on a 1-day interval), has a long, colorful, and distinguished history of use as a volatility estimator. As emphasized most recently by Alizadeh, Brandt, and Diebold (2002), the range is a highly efficient volatility proxy, distilling volatility in...

The scientific evaluation methodology for the forecast accuracy of wind power forecasting models is an important issue in the domain of wind power forecasting. However, traditional forecast evaluation criteria, such as Mean Squared Error (MSE) and Mean Absolute Error (MAE), have limitations in application to some degree. In this paper, a modern evaluation criterion, the Diebold-Mariano (DM) tes...

We analyze the nature of exchange rate return spillovers for 16 currencies. use 10 years daily data, covering January 01, 2010 to December 31, 2019. By using spillover index proposed by Diebold and Yilmaz (2009, 2012), we provide empirical evidence on returns among Asian countries. The largest flows from Singapore dollar other currencies (16.49%). Overall, our results confirm presence within co...