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Testing for Non-Linearity in ASEAN Financial Markets

Lim, Kian-Ping; Liew, Venus Khim-Sen - EconWPA - 2003

With abounding evidence of non-linearity in financial markets of developed countries, this study attempts to narrow the gap in the literature of ASEAN countries, with a focus on the foreign exchange and stock markets. The outcomes of our econometric investigation using the Hinich bispectrum test...

Persistent link: https://www.econbiz.de/10005134733

International Diversification Benefits in ASEAN Stock Markets: a Revisit

Lim, Kian-Ping; Lee, Hock-Ann; Liew, Venus Khim-Sen - EconWPA - 2003

With plentiful of evidence supporting the presence of non-linearity in stock returns series, coupled with theoretical and empirical works suggesting a potential loss in standard Johansen cointegration method if the underlying data generating process is non-linear in nature, this study...

Persistent link: https://www.econbiz.de/10005413036

Sticky Price Models and Durable Goods

Barsky, Robert; House, Christopher L.; Kimball, Miles - EconWPA - 2005

behavior. Flexibly priced durables contract during periods of economic expansion. The tendency towards negative comovement is …

Persistent link: https://www.econbiz.de/10005076801

On Describing Multivariate Skewness: A Directional Approach

Ferreira, J. T. A. S.; Steel, M. F. J. - EconWPA - 2004

Most multivariate measures of skewness in the literature measure the overall skewness of a distribution. While these measures are perfectly adequate for testing the hypothesis of distributional symmetry, their relevance for describing skewed distributions is less obvious. In this article, we...

Persistent link: https://www.econbiz.de/10005556279

An Analysis of Hedge Fund Performance

Capocci, Daniel - EconWPA - 2002

Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama & French (1998) Agarwal & Naik (2000) models and...

Persistent link: https://www.econbiz.de/10005134782

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

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

Chow, Gregory C. - EconWPA - 2003

weekly rates of return and volatilities of these two markets and to study their co-movement in 1992-2002. The rate of return … volatility in the other market negatively. This spurious correlation is explained by the negative correlations of macroeconomic … fundamentals in the United States and China as indicated by a negative correlation between the rates of change in their GDP while …

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

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

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