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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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ASIMETRÍA, PERSISTENCIA Y NO LINEALIDAD DE LA TASA DE DESEMPLEO ESPAÑOL
García, José María Casado; Trívez, F. Javier - EconWPA - 2004
The Asymmetry or counter-cycle nature and its influence on the persistence of the registered unemployment rate is a … with asymmetry. General studies about Spanish unemployment have focused all its attention on demonstrating the long … traditional topic of the economics theory’s analysis. However, studies of the Spanish unemployment done up to now have not dealt …
Persistent link: https://www.econbiz.de/10005407958
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Consumer Surveys and Reality
Bovi, Maurizio - EconWPA - 2004
This paper investigates the usefulness of Italian consumer surveys as estimation and forecasting tool over the period 1982-2003. To this end, standard consumption equations are estimated and then compared, in terms of in-sample and out-of-sample predictive ability, with corresponding models...
Persistent link: https://www.econbiz.de/10005412574
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Understanding Brazilian Unemployment Structure: A Mixed Autoregressive Approach
Silva, Ricardo Gonçalves; Andrade, Marinho Gomes; … - EconWPA - 2004
The aims of this paper are estimate and forecast the Non-Accelerating Inflation Rate of Unemployment, or NAIRU, for … Brazilian unemployment time series data. In doing so, we introduce a methodology for estimating mixed additive seasonal …
Persistent link: https://www.econbiz.de/10005407874
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On the Evidence of Non-Linear Structure in Canadian Unemployment.
Mikhail, Ossama; Eberwein, Curtis J.; Handa, Jagdish - EconWPA - 2003
In this paper, we focus on and examine the empirical evidence of non- linearity in aggregate Canadian unemployment … reject the null hypothesis of a linear structure for Canadian unemployment. …
Persistent link: https://www.econbiz.de/10005412624
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The Measurement of Persistence and Hysteresis in Aggregate Unemployment.
Mikhail, Ossama; Eberwein, Curtis J.; Handa, Jagdish - EconWPA - 2003
unemployment persistence. …There exists no consensus regarding the definition and the measure of persistence. We aim to spark research interests …
Persistent link: https://www.econbiz.de/10005126077
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Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach
SULEIMANN, Ryan - EconWPA - 2003
The episodes of stock market crises in Europe and the U.S.A.since the year 2000,and the fragility of the international stock markets,have sparked the interest of researchers in understanding and in modeling the markets’ rising volatilities in order to prevent against crises.Portfolio managers...
Persistent link: https://www.econbiz.de/10005124892
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A Framework for Forecasting the Components of the Consumer Price
Aron, Janine; Muellbauer, John; Pretorius, Coen - EconWPA - 2004
Inflation is a far from homogeneous phenomenon, but this fact is ignored in most work on consumer price inflation. Using a novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage interest rates, or CPIX) for South Africa are modeled separately...
Persistent link: https://www.econbiz.de/10005062419
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Modelling the misalignments of the Dollar-Sterling real exchange rate: a nonlinear cointegration perspective
CHAOUACHI, Slim; DUFRENOT, Gilles; Val=E9rie MIGNON - EconWPA - 2003
This paper proposes a comparison of three nonlinear error- correction models to account for the asymmetric and slow adjustment dynamics of the Dollar-Sterling real exchange rate over a long period (1957-202). We conclude that two NEC models adequately describe the nonlinear mean-reverting...
Persistent link: https://www.econbiz.de/10005062688
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Non-stationarities in financial time series, the long range dependence and the IGARCH effects
Mikosch, Thomas; Starica, Catalin - EconWPA - 2004
In this paper we give the theoretical basis of a possible explanation for two stylized facts observed in long log-return series: the long range dependence (LRD) in volatility and the integrated GARCH (IGARCH). Both these effects can be theoretically explained if one assumes that the data is...
Persistent link: https://www.econbiz.de/10005407886