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Scaling transformation and probability distributions for financial time series

BRACHET, Marc-Etienne; TAFLIN, Erik; TCHEOU, Jean Marcel - EconWPA - 1999

The price of financial assets are, since Bachelier, considered to be described by a (discrete or continuous) time sequence of random variables, i.e a stochastic process. Sharp scaling exponents or unifractal behavior of such processes has been reported in several works. In this letter we...

Persistent link: https://www.econbiz.de/10005408269

Efficiency of the Foreign Exchange Market of Papua New Guinea During the Recent Float

Wickremasinghe, Guneratne Banda - EconWPA - 2004

This paper examines the validity of the efficient market hypothesis (EMH) for the foreign exchange market of Papua New Guinea (PNG) using data on spot exchange rates for four major foreign currencies during the recent float. The unit root test results indicate that all the four exchange rates...

Persistent link: https://www.econbiz.de/10005408043

EFFICIENCY OF FOREIGN EXCHANGE MARKETS: A DEVELOPING COUNTRY PERSPECTIVE

Wickremasinghe, Guneratne Banda - EconWPA - 2004

This study tests weak and semi-strong form efficiency of the foreign exchange market in Sri Lanka using six bilateral foreign exchange rates during the recent float. Weak-form efficiency is examined using unit root tests while semi-strong form efficiency is tested using co- integration and...

Persistent link: https://www.econbiz.de/10005556627

Policy Reform in Networks Infrastructure: The Case of Mexico

Tovar-Landa, Ramiro - EconWPA - 1997

This paper addresses the recent Mexico experience in the opening to competition in networks infrastructure mainly in …

Persistent link: https://www.econbiz.de/10005076639

Un Análisis de cointegración con corrección de errores de las Fugas de Capital y la Inestabilidad Política en México , An econometric model of capital flight in Mexico

Diaz-Bautista, Alejandro; Andrade, Cesar Alfredo Olivas - EconWPA - 2005

Resumen El presente estudio se centra en analizar los factores que provocan el éxodo de capital en México, entre los … interés entre México y Estados Unidos y el diferencial en las tasas de inflación México-Estados Unidos. De igual forma, se … México. Asimismo, se plantean los modelos más comunes para la estimación de la fuga de capital aplicados a México. Abstract …

Persistent link: https://www.econbiz.de/10005125516

Restaurant Prices and the Mexican Peso

Jr, Thomas M Fullerton; Coronado, Roberto - EconWPA - 2004

Mexican peso. Sample data are from El Paso, Texas and Ciudad Juarez, Mexico. A battery of statistical tests indicate that the …

Persistent link: https://www.econbiz.de/10005125523

Short-Run Price Dynamics in Mexico

Jr, Thomas M Fullerton; Tinajero, Roberto - EconWPA - 2004

A theoretical model of inflationary dynamics is developed for Mexico. Estimation is carried out using ARIMA transfer … model satisfy standard statistical criteria. Results indicate that prices in Mexico respond relatively quickly to money …

Persistent link: https://www.econbiz.de/10005126161

Inflationary Pressure Determinants in Mexico

Jr, Thomas M Fullerton; Calderon, Cuauhtemoc - EconWPA - 2004

. Empirical analysis is carried out using annual data for the 1970-1997 period. Parameter estimation is completed using a …

Persistent link: https://www.econbiz.de/10005126245

Monitoring Banking Sector Fragility

Kibritcioglu, Aykut - EconWPA - 2002

In the financial crisis literature, it is usually argued that, contrary to the case of currency crises, building a time series index to identify banking crisis episodes is highly difficult, particularly because of the lack of reliable data on banking sector variables (non-performing loans,...

Persistent link: https://www.econbiz.de/10005126447

CRECIMIENTO, INSTITUCIONES Y CONVERGENCIA EN MEXICO CONSIDERANDO A LA FRONTERA NORTE

Diaz-Bautista, Alejandro - EconWPA - 2004

convergencia regional en México y aborda los fundamentos teóricos y empíricos en el cual las instituciones juegan un papel … importante en el proceso de integración regional en México y en especial en la frontera norte. Finalmente, se realiza un análisis … empírico de la convergencia regional de largo plazo para los estados de México, introduciendo una variable de corrupción dentro …

Persistent link: https://www.econbiz.de/10005062522