Similar Search Results

A Time-Series Analysis of the Shanghai and New York Stock Price Indices

Chow, Gregory C. - EconWPA - 2003

and volatility of the Shanghai market were higher. The rates of returns in the two markets were approximately serially … uncorrelated and mutually uncorrelated. Volatility, as measured by the absolute change in the rate of return, has positive serially … correlations in both markets as expected, but the autoregressions are temporarily unstable. Most surprisingly the volatility …

Persistent link: https://www.econbiz.de/10005556546

Extreme Moves in Foreign Exchange Rates and Risk Limit Setting

Dacorogna, Michel; Blum, Peter - EconWPA - 2003

Foreign exchange rates can be subject to considerable daily fluctuations (up to 5 percent within one day). This can, in certain cases, cause serious losses on open overnight positions. Given a maximum tolerable loss for a company, limits have to be set on open overnight positions in foreign...

Persistent link: https://www.econbiz.de/10005126103

Short-Run Price Movements in Ecuador

Jr, Thomas M Fullerton - EconWPA - 2004

was still the official currency. Parameter estimation is carried out using a battery of time series techniques. Monthly …

Persistent link: https://www.econbiz.de/10005126131

Using the Scaling Analysis to Characterize Financial Markets

Matteo, T. Di; Aste, T.; Dacorogna, Michel M. - EconWPA - 2004

The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That …

Persistent link: https://www.econbiz.de/10005134766

Cross Border Business Cycle (Impacts on Commercial Electricity Demand

Jr, Thomas M Fullerton - EconWPA - 2004

Border region electric utility service loads are impacted by national, regional, and international business cycles. To examine whether the cross-border components of these interactions can be reliably assessed, transfer ARIMA models are estimated for three business rate categories in El Paso,...

Persistent link: https://www.econbiz.de/10005062498

Does Telecommuting Reduce Vehicle-miles Traveled? An Aggregate Time Series Analysis for the U. S.

Choo, Sangho; Mokhtarian, Patricia L.; Salomon, Ilan - EconWPA - 2005

This study examines the impact of telecommuting on passenger vehicle- miles traveled (VMT) through a multivariate time series analysis of aggregate nationwide data spanning 1966-1999 for all variables except telecommuting, and 1988-1998 for telecommuting. The analysis was conducted in two...

Persistent link: https://www.econbiz.de/10005407928

The P* model as a general identity to analyze and forecast the behavior of the inflation rate in the economy of Puerto Rico

Ramos, Carlos A. Rodríguez - EconWPA - 2003

the estimation of the price level to which the inflation tends to adjust in the long run. The second, points that the …

Persistent link: https://www.econbiz.de/10005556397

Currency Movements and International Border Crossings

Jr, Thomas M Fullerton - EconWPA - 2004

Similar to merchandise trade flows, commuter traffic between international metropolitan areas respond to changes in exchange rates. This paper examines the impact of currency variations on monthly frequency cross border commuter flows between El Paso, Texas and Ciudad Juarez, Mexico. The sample...

Persistent link: https://www.econbiz.de/10005119020

Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development

Matteo, T. Di; Aste, T.; Dacorogna, Michel M. - EconWPA - 2005

The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That …

Persistent link: https://www.econbiz.de/10005119145

Price Flexibility in Channels of Distribution: Evidence from Scanner Data

Dutta, Shantanu; Bergen, Mark; Levy, Daniel - EconWPA - 2004

In this study, we empirically examine the extent of price rigidity using a unique store-level time series data set - consisting of (i) actual retail transaction prices, (ii) actual wholesale transaction prices which represent both the retailers' costs and the prices received by manufacturers,...

Persistent link: https://www.econbiz.de/10005561335