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ON THE FORECASTABILITY OF ASEAN-5 STOCK MARKETS RETURNS USING TIME SERIES MODELS
Liew, Khim-Sen; Lim, Kian-Ping; Choong, Chee-Keong - EconWPA - 2003
This study examines the forecastability of ASEAN-5 stock market returns using linear and non-linear time series models. Time series models with GARCH errors are also considered. Based on formal econometrics tests, this study shows that the behaviour of these returns do not follow random walk...
Persistent link: https://www.econbiz.de/10005076958
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Volatility in the Italian Stock Market: An Empirical Study
Raberto, Marco; Scalas, Enrico; Cuniberti, Gianaurelio; … - EconWPA - 2004
We study the volatility of the MIB30–stock–index high–frequency data from November 28, 1994 through September 15, 1995. Our aim is to empirically characterize the volatility random walk in the framework of continuous–time finance. To this end, we compute the index volatility by means of...
Persistent link: https://www.econbiz.de/10005413205
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Market Efficiency and the Euro: The case of the Athens Stock Exchange
Panagiotidis, Theodore - EconWPA - 2005
The behaviour of an emerging market, the Athens Stock Exchange (ASE), after the introduction of the euro is investigated. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the exchange rate risk eliminated and as a result we expect the...
Persistent link: https://www.econbiz.de/10005413222
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CAN LONG HORIZON DATA BEAT RANDOM WALK UNDER ENGEL-WEST EXPLANATION?
Wang, Jian - EconWPA - 2005
persistence of change in fundamentals, two patterns may exist between the autocorrelation of exchange rate change and the time …
Persistent link: https://www.econbiz.de/10005556624
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Fractional calculus and continuous-time finance
Scalas, Enrico; Gorenflo, Rudolf; Mainardi, Francesco - EconWPA - 2004
In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the Lévy scaling form, follow as particular cases of the theory. The theory fully takes into account the non-Markovian and non-local character of...
Persistent link: https://www.econbiz.de/10005561606
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Correlations in the Bond–Future Market
Cuniberti, Gianaurelio; Raberto, Marco; Scalas, Enrico - EconWPA - 2004
We analyze the time series of overnight returns for the bund and btp futures exchanged at liffe (London). The overnight returns of both assets are mapped onto a one–dimensional symbolic–dynamics random walk: The “bond walk”. During the considered period (October 1991—January 1994) the...
Persistent link: https://www.econbiz.de/10005561683
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Generalized Moments Estimation for Spatial Panel Data: Indonesian Rice Farming
Druska, Viliam; Horrace, William C. - EconWPA - 2002
We consider estimation of a panel data model where disturbances are spatially correlated in the cross … geographic proximity and weather. These spillovers affect farm-level efficiency estimation and ranking. …
Persistent link: https://www.econbiz.de/10005062574
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Specification Searches in Spatial Econometrics: The Relevance of Hendry's Methodology
Florax, Raymond J.G.M.; Folmer, Hendrik; Rey, Sergio J. - EconWPA - 2002
This paper brings together a number of new specification search strategies in spatial econometric modeling. In the literature, experimental results for several forward stepwise strategies aimed at remedying spatial dependence, have been reported. Essentially, these strategies boil down to the...
Persistent link: https://www.econbiz.de/10005119054
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Robust Wald Tests in SUR Systems with Adding Up Restrictions: An Algebraic Approach to Proofs of Invariance
Ray, Surajit; Ravikumar, B.; Savin, N. Eugene - EconWPA - 1998
explanatory variables are present in all equations and where heteroskedasticity and/or autocorrelation of unknown forms may be … autocorrelation consistent covariance matrix estimator, is invariant to the equation deleted. Our proof of invariance is algebraic and …
Persistent link: https://www.econbiz.de/10005119082
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Agriculture and the economic transformation of Ethiopia:
Mellor, John W.; Dorosh, Paul A. - International Food Policy Research Institute (IFPRI) - 2010
and services. Since agriculture currently dominates Ethiopia's economy and employment, however, there is an issue as to … grow more rapidly than the agricultural sector. The slower growth of agriculture, its relative decline, concern about the … difficulty of modernizing agriculture and pessimism about the potentials for technological change in agriculture suggest to some …
Persistent link: https://www.econbiz.de/10010850557