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Estimating Economic Effects of Political Movements in China
Chow, Gregory C. - EconWPA - 2003
To measure the economic effects of political movements in China a simple econo-metric model is constructed. Investment is determined by a central planner maximizing a multiperiod objective function. Political events are modeled by exogenous changes in the shocks to productivity and to investment...
Persistent link: https://www.econbiz.de/10005062562
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Economic Effects of Political Movements in China: Lower Bound Estimates
Chow, Gregory C. - EconWPA - 2003
We construct a structural econometric model to measure partially the economic effects of political movements in China.
Persistent link: https://www.econbiz.de/10005062573
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Econometrics and Economic Policy
Chow, Gregory C. - EconWPA - 2003
This is a survey paper on five important developments in econometrics, with illustrative applications to economic …
Persistent link: https://www.econbiz.de/10005556306
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Una Aproximación Microeconométrica a los Determinantes de la Elección del Modo de Transporte. (A Microeconometric Approach to the Determinants of Travel Mode Choice)
Garcia, Pablo M - EconWPA - 2005
The transportation system is a fundamental component of the urban economic development, with its generating feature of negative supply externalities standing out (and, as a result, of the satisfied demand for some kind of this supply’s structure) related to congestion and environmental...
Persistent link: https://www.econbiz.de/10005118977
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The Determinants of the Harare Stock Exchange (HSE) Market Capitalisation
Ilmolelian, Peter - EconWPA - 2005
This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...
Persistent link: https://www.econbiz.de/10005119105
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Do Chinese stock markets share common information arrival processes?
Kostov, Philip; Wu, Ziping; McErlean, Seamus - EconWPA - 2004
According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a …) volatility and trading volume changes in different financial markets. An implication is that returns volatility in one stock … market should show positive and contemporaneous correlation with returns volatility in another stock market. This paper tests …
Persistent link: https://www.econbiz.de/10005407887
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Forecasting Volatility of Turkish Markets: A Comparison of Thin and Thick Models
Kilic, Ekrem - EconWPA - 2005
Volatility of financial markets is an important topic for academics, policy makers and market participants. In this … these specifications. Then assuming that the squared returns are the benchmark estimate for actual volatility of the day, I … compare all of the models with respect to how much efficient they are to mimic the realized volatility. At the same time I …
Persistent link: https://www.econbiz.de/10005556286
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A NEW METHOD FOR ESTIMATING THE ORDER OF INTEGRATION OF FRACTIONALLY INTEGRATED PROCESSES USING BISPECTRA
Dalkir, Mehmet - EconWPA - 2005
The method proposed in this chapter is making use of the bispectrum transformation to estimate the level of integration of a fractionally integrated time series. Bispectrum ransformation transforms the series into a two dimensional frequency space, and thus has higher information content...
Persistent link: https://www.econbiz.de/10005407981
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Grocer 1.0, an Econometric Toolbox for Scilab: an Econometrician Point of View
Dubois - EconWPA - 2005
available. Grocer contains also two original econometric tools: a function allowing the 'automatic' estimation of the 'true …
Persistent link: https://www.econbiz.de/10005556304
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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