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Economia sintetica
Vildosola, Luis - EconWPA - 1998
Theoretical study identifying one modality with conditions necesary for the financial stabilization of an inherently unstable system; and 5040 other unstable dynamic modes. It draws on knowledge made available by the academic field of Control Engineering.
Persistent link: https://www.econbiz.de/10005125628
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TESTING EFFICIENCY OF THE COPPER FUTURES MARKET: NEW EVIDENCE FROM LONDON METAL EXCHANGE
Kenourgios, Dimitris; Samitas, Aristeidis - EconWPA - 2005
This paper investigates the joint hypothesis of market efficiency and unbiasedness of futures prices for the copper futures contract traded on the London Metal Exchange. This contract is of particular importance given the usage and properties of the underlying commodity and its highest share of...
Persistent link: https://www.econbiz.de/10005413194
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Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure
Pesavento, Elena; Rossi, Barbara - EconWPA - 2004
This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic procedure in which the researcher does not have to...
Persistent link: https://www.econbiz.de/10005556360
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Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship
Hill, Jonathan B. - EconWPA - 2004
This paper develops a simple sequential multiple horizon non-causation test strategy for trivariate VAR models (with one auxiliary variable). We apply the test strategy to a rolling window study of money supply and real income, with the price of oil, the unemployment rate and the spread between...
Persistent link: https://www.econbiz.de/10005561203
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Tests of seasonal integration and cointegration in multivariate unobserved component models
Busetti, Fabio - EconWPA - 2004
The paper considers tests of seasonal integration and cointegration for multivariate time series. The locally best invariant (LBI) test of the null hypothesis of a deterministic seasonal pattern against the alternative of seasonal integration is derived for a model with Gaussian i.i.d....
Persistent link: https://www.econbiz.de/10005119113
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Substitution, Risk Aversion, Taste Shocks and Equity Premia
Normandin, Michel; St-Amour, Pascal - EconWPA - 1996
This paper investigates the testable restrictions on the time-series behavior of equity premia implied by a representative agent model whose state- and time-non separable preferences are subject to taste shocks. The model nests state- and time-separable preferences with and without taste shocks...
Persistent link: https://www.econbiz.de/10005561766
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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
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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 confine our analysis on four indices which are the...
Persistent link: https://www.econbiz.de/10005134650
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Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?
Starica, Catalin - EconWPA - 2004
-parametric regression approach to next-day volatility forecasting. A second finding is that the GARCH(1,1) model severely over-estimated the … unconditional variance leads to poor volatility forecasts during the period under discussion with the MSE of GARCH(1,1) 1-year ahead … volatility more than 4 times bigger than the MSE of a forecast based on historical volatility. We test and reject the hypothesis …
Persistent link: https://www.econbiz.de/10005407908
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The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach
SULEIMANN, Ryan - EconWPA - 2003
considerably increased exhibiting a certain level of correlation. We find signs of a co-movement effect between the volatilities of …, using a bivariate SWARCH model to show the dependence of the high and low volatility states of the IT.CAC on the NASDAQ-100 …, with no intermediate simultaneous high-low volatility states. …
Persistent link: https://www.econbiz.de/10005556399