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Semiparametric Estimation of Fractional Cointegrating Subspaces

Chen, Willa; Hurvich, Clifford - EconWPA - 2004

appropriate sets of eigenvectors of an averaged periodogram matrix of tapered, differenced observations. The averaging uses the …

Persistent link: https://www.econbiz.de/10005407953

LATIN AMERICAN FINANCIAL DEVELOPMENT IN PERSPECTIVE

Herrero, Alicia García; Fraile, Javier Santillan; … - EconWPA - 2003

This paper assesses financial sector development in Latin America, both in the banking system and in the capital markets. After a brief review of the explanatory factors and the definitions of financial development found in the literature, Latin American countries are classified in groups of...

Persistent link: https://www.econbiz.de/10005413180

As vantagens Competitivas da Beira Interior

Carvalho, Pedro Guedes; Neves, Tiago Sequeira - EconWPA - 2002

A problemática deste artigo centra-se nas diferenças de competitividade entre interior e litoral, tomando os territórios concelhios como espaço de análise. Não obstante as enormes diferenças conhecidas, supôs-se poder existir um potencial de competitividade nas cidades do interior do...

Persistent link: https://www.econbiz.de/10005556240

Using Mixtures-of-Distributions models to inform farm size selection decisions in representative farm modelling.

Kostov, Philip; McErlean, Seamus - EconWPA - 2004

The selection of ‘representative’ farms in farm level modelling where results are aggregated to the sector level is critically important if the effects of aggregation bias are to be reduced. The process of selecting representative farms normally involves the use of cluster analysis where the...

Persistent link: https://www.econbiz.de/10005118945

Introducing a scale of market shocks

Zumbach, Gilles O.; Dacorogna, Michel M.; Olsen, Jorgen L. - EconWPA - 2004

importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset …

Persistent link: https://www.econbiz.de/10005076995

Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach

SULEIMANN, Ryan - EconWPA - 2003

ﬁnancial instruments in the portfolio and on the volatility of those returns.This task is relatively simple if the correlations … and volatilities do not change over time.But in reality both volatility and stock market indexes’ correlations do change …

Persistent link: https://www.econbiz.de/10005124892

A Self-Consistent Model for the Forward Price Dynamics

Makhankov, Vlad - EconWPA - 2003

applications in power industries. This model with stochastic volatility of the forward price is built using the ideas and equations … of stochastic differential geometry in order to close the system of equations for the forward price and its volatility …. Stationary distributions for the forward price volatility are found analytically as well as the forward price curves in the one …

Persistent link: https://www.econbiz.de/10005124894

Financial contagion, interest rates and the role of the exchange rate as shock absorber in Central and Eastern Europe

Habib, Maurizio Michael - EconWPA - 2002

affected by ‘vo- latility contagion’ coming from emerging markets. I find also some partial support for the ‘volatility …

Persistent link: https://www.econbiz.de/10005125528

Volatility, Heterogeneous Agents and Chaos

Gomes, Orlando - EconWPA - 2004

exemplifies how heterogeneity concerning the volatility of two stochastic processes may lead to chaotic motion; the second is a …

Persistent link: https://www.econbiz.de/10005125624

What determines macroeconomic volatility? A cross-section and panel data study

Spiliopoulos, Leonidas - EconWPA - 2005

This paper examines the determinants of the volatility in growth rates, seeking to expand on a very limited literature … which has focused almost exclusively on financial determinants of volatility. An analysis of 41 variables and their effects … on growth volatility yields some surprising results: the relationship between financial sophistication and volatility is …

Persistent link: https://www.econbiz.de/10005126343