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Robust Estimation in Nonlinear Regression and Limited Dependent Variable Models

Cizek, Pavel - EconWPA - 2002

Classical parametric estimation methods applied to nonlinear regression and limited-dependent-variable models are very sensitive to misspecification and data errors. This sensitivity is addressed by the theory of robust statistics which builds upon parametric specification, but provides...

Persistent link: https://www.econbiz.de/10005556311

An Estimated, New Keynesian Policy Model for Australia

Melecky, Martin; Buncic, Daniel - EconWPA - 2005

A two-block open economy model is estimated in this paper using Australian and U.S. data. Evaluation of the estimated model is carried out in relation to a simple closed economy alternative. Namely, we inspect the implied transmission mechanisms, and examine the relative out-of-sample...

Persistent link: https://www.econbiz.de/10005125001

The Price Puzzle and Indeterminacy

Castelnuovo, Efrem; Surico, Paolo - EconWPA - 2005

This paper re-examines the empirical evidence on the price puzzle and proposes a new theoretical interpretation. Using structural VARs and two different identification strategies based on zero restrictions and sign restrictions, we find that the positive response of price to a monetary policy...

Persistent link: https://www.econbiz.de/10005126381

New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach

SULEIMANN, Ryan - EconWPA - 2003

modeling this market’s high volatility to prevent against crises.The strong linkage of the American and European New Technology …

Persistent link: https://www.econbiz.de/10005119158

Non-stationarities in stock returns

Starica, Catalin; Granger, Clive - EconWPA - 2004

The paper outlines a methodology for analyzing daily stock returns that relinquishes the assumption of global stationarity. Giving up this common working hypothesis reflects our belief that fundamental features of the financial markets are continuously and significantly changing. Our approach...

Persistent link: https://www.econbiz.de/10005119176

Commodity Price Volatility Across Exchange Rate Regimes

Cuddington, John T.; Liang, Hong - EconWPA - 1998

from 1880 to 1996: The volatility of real commodity prices, defined as nominal commodity prices deflated by the …

Persistent link: https://www.econbiz.de/10005119448

The Composition of International Capital Flows: Risk Sharing Through Foreign Direct Investment

Albuquerque, Rui - EconWPA - 2004

the pricing of default risk. Inalienability implies that it is not as advantageous to expropriate FDI relative to other … flows. These features combine to give a risk sharing advantage to FDI over other capital flows. This risk sharing advantage … and country risk ratings to measure financing constraints, I present new evidence linking FDI and financing constraints …

Persistent link: https://www.econbiz.de/10005119449

Capital Flows and Domestic Financial Sector in India

Kohli, Renu - EconWPA - 2004

, it is found, has a significant impact on domestic money supply and stock market growth, liquidity and volatility. The …

Persistent link: https://www.econbiz.de/10005119480

Financial Liberalization and Business Cycles: The Experience of Future EU Member States in the Baltics and Central Eastern Europe

Souza, Lucio Vinhas de - EconWPA - 2004

States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial … mature market economies, reduces cyclical volatility both in the short and in the long run. Weak indications are found that …

Persistent link: https://www.econbiz.de/10005062709

Introducing a scale of market shocks

Zumbach, Gilles O.; Dacorogna, Michel M.; Olsen, Jorgen L. - EconWPA - 2004

importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset …

Persistent link: https://www.econbiz.de/10005076995