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Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes

Huang, Jingzhi; Wu, Liuren - EconWPA - 2004

the return process and generate stochastic volatilities from two different sources, the jump component and the diffusion …

Persistent link: https://www.econbiz.de/10005077041

The international diffusion of new technologies: a multi-technology analysis of latecomer advantage and global economic integration

Perkins, Richard; Neumayer, Eric - EconWPA - 2004

The diffusion of modern, efficient technology has far-reaching consequences for the geography of economic activity …. To investigate these claims we use event-history analysis to estimate the determinants of diffusion speed across a large … developed countries. Trade openness is also found to influence the rate of diffusion positively for all three technologies. Yet …

Persistent link: https://www.econbiz.de/10005062437

Technological change: An analysis of the diffusion and implications of e-business technologies

Koellinger, Philipp - EconWPA - 2005

This is a monograph that presents both a comprehensive literature review and original research results on the diffusion … and the implications of e-business technologies. The diffusion of e-business technologies among firms is regarded as part …

Persistent link: https://www.econbiz.de/10005555995

UNDERSTANDING THE DETERMINANTS OF ICTS DIFFUSSION IN ECOWAS

NWAOBI, GODWIN CHUKWUDUM - EconWPA - 2004

The Information and Communication technology(ICT) environment in the economic community of west african states(ECOWAS) has changed sufficiently to warrant re-conceptualization of the earlier initiatives. Notably, many new technologies have emerged, especially in the area of wireless...

Persistent link: https://www.econbiz.de/10005118855

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

STOCK MARKET VALUATION IN THE UNITED STATES

BISCIARI, Patrick; DURRE, Alain; NYSSENS, Alain - EconWPA - 2003

This paper gives an overview of some issues related to market aluation, focusing on the developments on the New York equity markets. The 42.4 p.c. fall in the S&P 500 price index between 24 March 2000 - when it reached its all-time high - and 31 December 2002 is situated in a very long term...

Persistent link: https://www.econbiz.de/10005125064

Forecasting Regional Employment in Germany by Means of Neural Networks and Genetic Algorithms

Patuelli, Roberto; Longhi, Simonetta; Reggiani, Aura; … - EconWPA - 2005

The aim of this paper is to develop and apply Neural Network (NN) models in order to forecast regional employment patterns in Germany. NNs are statistical tools based on learning algorithms with a distribution over a large amount of quantitative data. NNs are increasingly deployed in the social...

Persistent link: https://www.econbiz.de/10005134566

APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES

Guida, Tony; Matringe, Olivier - EconWPA - 2005

This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare … different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to …

Persistent link: https://www.econbiz.de/10005134650

Proxying for Expected Returns with Price Earnings Ratios

Hansen, Charlotte S.; Tuypens, Bjorn E. - EconWPA - 2004

ratio when forecasting long-run returns. The empirical results for the S&P 500 show the superiority of our approach to …

Persistent link: https://www.econbiz.de/10005134659

Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability

Rossi, Barbara - EconWPA - 2005

Many authors have documented that it is challenging to explain exchange rate fluctuations with macroeconomic fundamentals: a random walk forecasts future exchange rates better than existing macroeconomic models. This paper applies newly developed tests for nested model that are robust to the...

Persistent link: https://www.econbiz.de/10005062396