Similar Search Results

A Financial Social Accounting Matrix (SAM) for Luxembourg

Hubic, Amela - EcoMod Network - 2012

representing the economy of a nation but also providing the link between the economy and the rest of the world in terms of trade …

Persistent link: https://www.econbiz.de/10010886624

FREQUENCY ASPECTS OF INFORMATION TRANSMISSION IN NETWORKS OF EQUITY MARKETS

Roesch, Angi; Schmidbauer, Harald; Uluceviz, Erhan - EcoMod Network - 2014

The dating of cyclical phenomena in economies, such as business cycles, is at the core of economic policy research. Moreover, policy decisions which are due to affect interacting economies should take into account the economies' connectedness and synchronicity. The cross-country analysis of...

Persistent link: https://www.econbiz.de/10010886647

ESTIMATION OF VECTOR ERROR CORRECTION MODEL WITH GARCH ERRORS: MONTE CARLO SIMULATION AND APPLICATIONS

Setiawan, Kusdhianto; Maekawa, Koichi - EcoMod Network - 2014

by Monte Carlo simulation based on a relatively small scale VEC-GARCH model; an unrestricted VECM equation system with …. Furthermore a small scale of empirical study is presented to see the applicability of the FGLS. In our simulation we found that …

Persistent link: https://www.econbiz.de/10010886654

Individual investors’ stock buying behavior: Does experience matter in a developing economy stock market.

Agbontaen, Osaro; Okonedo, Enase - EcoMod Network - 2014

’ trade potentials augment transactions on the stock market in a developing economy. Ascertain how retail investors …’ forecasting ability is influenced by their trading experiences. Disclose how experience aids the prospects of trade performance … experience is essential for stock sales transactions. We obtained evidences that it influences trade quality. Overconfidence in …

Persistent link: https://www.econbiz.de/10010886661

Detecting speculation in volatility of commodities futures markets

Nicolini, Marcella; Manera, Matteo; Vignati, Ilaria - EcoMod Network - 2013

This paper evaluates if and how speculation affects the volatility of commodity futures: it distinguishes between short term and long term measures of speculation and investigates if the impact on volatility is different. Speculation is measured by means of four indexes: scalping, Working’s T,...

Persistent link: https://www.econbiz.de/10010886682

Ownership, institutions and bank risk-taking in Central and Eastern European countries

Kouretas, Georgios; Tsoumas, Chris; Drakos, Anastasios A. - EcoMod Network - 2013

In a recent line of research the low interest-rate environment of the early to mid 2000s is viewed as an element that triggered increased risk-taking appetite of banks in search for yield. This paper uses approximately 7,000 annual observations on banks of the CEE countries over the period...

Persistent link: https://www.econbiz.de/10010886683

Stock Market and Economic Growth in China

Wang, Baotai; Ajit, D. - EcoMod Network - 2013

This study investigates the impact of stock market development on economic growth in China. To this end, the quarterly data from 1996 to 2011 are used and the empirical investigation is conducted within the unit root and the cointegration framework. The results show that the relationship between...

Persistent link: https://www.econbiz.de/10010886702

Cheap Money and Risk Taking: Opacity versus Underlying Risk

Eckwert, Bernhard; Drees, Burkhard; Vardy, Felix - EcoMod Network - 2011

In a Bayesian setting, investments can be risky either because they are opaque, i.e., their payoff-relevant signals are noisy, or because they are fundamentally risky, i.e., the variance of the prior is high. When interest rates are low (high), investors favor opaque (transparent) projects that...

Persistent link: https://www.econbiz.de/10010886724

Optimal Option Portfolio Strategies

Faias, Jose; Santa-Clara, Pedro - EcoMod Network - 2011

Options should play an important role in asset allocation. They allow for kernel spanning and provide access to additional (priced) risk factors such as stochastic volatility and negative jumps. Unfortunately, traditional methods of asset allocation (e.g. mean-variance optimization) are not...

Persistent link: https://www.econbiz.de/10010886727

Fiscal forecast errors: governments vs independent agencies?

Perez, Javier J.; Merola, Rossana - EcoMod Network - 2012

The fact that the literature tends to find biases in national fiscal projections has led to a growing claim in the academic and policy arenas for the need to introduce independent forecasts in the fiscal domain, prepared by independent agencies, like the European Commission (EC) in the case...

Persistent link: https://www.econbiz.de/10010887887