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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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Wavelets in Econometrics: An Application to Outlier Testing
Greenblatt, Seth A. - EconWPA - 1994
In recent years, wavelets have become widely used in physics, engineering, and mathematics. They have been used for signal processing, image processing, numerical computation, and data compression. Wavelets have not, however, been used very much in the fields of Economics, Econometrics, and...
Persistent link: https://www.econbiz.de/10005124893
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Markov Chain Monte Carlo Simulation Methods in Econometrics
Chib, Siddhartha; Greenberg, Edward - EconWPA - 1994
We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and statistics. Among these is the Gibbs sampler, which has been of particular interest to econometricians. Although the paper summarizes some of the relevant theoretical...
Persistent link: https://www.econbiz.de/10005124895
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Fitting Equilibrium Search Models to Labor Market Data
Bowlus, Audra J.; Kiefer, Nicholas M.; Neumann, George R. - EconWPA - 1996
The essential idea of equilibrium search models of labour market behaviour is that wage policy matters. In contrast, the stylized neoclassical competitive model predicts that firms paying a wage above the competitive equilibrium will disappear; those offering less will attract no workers. The...
Persistent link: https://www.econbiz.de/10005124896
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Using Expectations Data to Study Subjective Income Expectations
Dominitz, Jeff; Manski, Charles F. - EconWPA - 1994
We have collected data on the one-year-ahead income expectations of members of American households in our Survey of Economic Expectations (SEE), a module of a national continuous telephone survey conducted at the University of Wisconsin. The income- expectations questions take this form: "What...
Persistent link: https://www.econbiz.de/10005124897
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Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions
DeSerres, Alain; Guay, Alain - EconWPA - 1995
The authors examine the issue of lag-length selection in the context of a structural vector autoregression (VAR) and a vector error-correction model with long-run restrictions. First, they show that imposing long- run restrictions implies, in general, a moving-average (MA) component in the...
Persistent link: https://www.econbiz.de/10005124898
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Do gasoline prices converge in a unified Europe with non- harmonized tax rates?
Dreher, Axel; Krieger, Tim - EconWPA - 2004
The paper presents univariate and panel unit root tests for gasoline and oil price convergence over the last decade. We test for the absolute versus relative version of the LOOP and estimate the speed of convergence as well as its development over time. Our results show that the absolute version...
Persistent link: https://www.econbiz.de/10005125494
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Long-Run Neutrality in a Long-Memory Model
Bae, SangKun; Jensen, Mark J. - EconWPA - 1998
In this paper we use a bivariate, fractionally integrated, autoregressive, moving average model of money and real output to extend Fisher and Seater (1993) long-run neutrality requirements to long-memory processes. We derive new restrictions on the order of the nominal and real variable and...
Persistent link: https://www.econbiz.de/10005126242
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The Reliability of Output Gap Estimates in Real Time
Orphanides, Athanasios; Norden, Simon van - EconWPA - 1999
Compared to its central role in policy discussions in the United States and most other developed countries, the reliability of the measurement of the output gap has attracted relatively little academic study. Furthermore, both the academic literature and the debate among practitioners have...
Persistent link: https://www.econbiz.de/10005126356