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Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
Maneesoonthorn, Worapree; Forbes, Catherine S.; Martin, … - Department of Econometrics and Business Statistics, … - 2014
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used to link observed returns, plus nonparametric measures of integrated volatility and price jumps, to the specified...
Persistent link: https://www.econbiz.de/10011141014
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Efficiency, Technical Change, and Returns to Scale in Large U.S. Banks: Panel Data Evidence from an Output Distance Function Satisfying Theoretical Regularity
Feng, Guohua; Serletis, Apostolos - Department of Econometrics and Business Statistics, … - 2009
This paper provides parametric estimates of technical change, efficiency change, economies of scale, and total factor productivity growth for large banks (those with assets in excess of $1 billion) in the United States, over the period from 2000 to 2005. This is done by estimating an output...
Persistent link: https://www.econbiz.de/10004993631
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The First Great Divergence and the Evolution of Cross-Country Income Inequality during the Last Millennium: the Role of Institutions and Culture
Madsen, Jakob B.; Yan, Eric - Department of Econometrics and Business Statistics, … - 2013
and which factors were fundamental for the Great Divergence. These hypotheses are the contracting institutions, property … right institutions, and culture. It is tested whether these theories influence growth through science and technology or … human capital or channels that are independent of these two channels. It is found that culture, contracting institutions and …
Persistent link: https://www.econbiz.de/10010667365
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The Arm’s Length Principle, Transfer Pricing and Foreclosure under Imperfect Competition
Cheng, Wenli; Zhang, Dingsheng - Department of Econometrics and Business Statistics, … - 2010
Abstract: This paper studies a multinational firm’s transfer price decisions in imperfectly competitive market settings. It investigates whether the firm’s optimal transfer price coincides with the arm’s length price and examines how the firm might respond if it is compelled...
Persistent link: https://www.econbiz.de/10008492306
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Crime, Corruption and Institutions
Chatterjee, Ishita; Ray, Ranjan - Department of Econometrics and Business Statistics, … - 2009
from a variety of sources on a range of macro variables and on institutions in the respondent’s country of residence. A …
Persistent link: https://www.econbiz.de/10005064172
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A Repayment Model of House Prices
Madsen, Jakob B - Department of Econometrics and Business Statistics, … - 2011
This paper proposes a model in which house prices are determined by housing affordability in the short run, while being determined by acquisition costs in the long run. Housing affordability is, in turn, determined by nominal income and nominal mortgage payments. The model explains the recent...
Persistent link: https://www.econbiz.de/10009144416
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The Inverse Domino Effect: Are Economic Reforms Contagious?
Gassebner, Martin; Gaston, Noel; Lamla, Michael - Department of Econometrics and Business Statistics, … - 2007
This paper examines whether a country’s economic reforms are affected by reforms adopted by other countries. A simple model of economic reforms is developed to motivate the econometric work. Unsurprisingly, the model predicts that reforms are more likely when factors of production are...
Persistent link: https://www.econbiz.de/10005064175
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Economic Growth, Coal Demand, Carbon Dioxide Emissions: Empirical Findings from India with Policy Implications
Bhattacharya, Dr Mita; Lean, Hooi Hooi; Bhattacharya, Sankar - Department of Econometrics and Business Statistics, … - 2014
Coal is the primary source of energy and predominantly used for electricity generation in India. For an emerging economy like India, the demand-supply gap is widening in Coal sector with economic growth. Considering both sides of market, we establish long run dynamics between economic growth,...
Persistent link: https://www.econbiz.de/10011266966
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Growth Convergence: Some Panel Data Evidence.
Lee, M.; Longmire, R.; Matyas, L.; Harris, M. - Department of Econometrics and Business Statistics, … - 1996
This paper implements a panel data approach of the Solow model to study the phenomenon of growth convergence for 22 OECD countries. It shows that the derived estimable Solow model is probably underspecified from an econometric point of view, it is still possible to conclude that there is a...
Persistent link: https://www.econbiz.de/10005087587
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Economic growth and contraction and their impact on the poor
Inder, Brett - Department of Econometrics and Business Statistics, … - 2004
This paper considers the relationship between growth in real per capita GDP and the growth in real per capita GDP of the poorest 20% of a country. It uses the data set compiled by Dollar and Kraay (2002), but come to very different conclusions. We argue that if the purpose is to answer questions...
Persistent link: https://www.econbiz.de/10005149088