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Error correction in DHSY
Eliasson, Ann-Charlotte (contributor);  … - 2002 - [Elektronische Ressource]
In this note, we consider the contradiction between the fact that the best fit for the UK consumption data in Davidson et al. (1978) is obtained using an equation with an intercept but without an error correction term, whereas the equation with error correction and without the intercept has...
Persistent link: https://www.econbiz.de/10001714625
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Modelling the demand for M3 in the unified Germany
Wolters, Jürgen; Teräsvirta, Timo; Lütkepohl, Helmut - 1996
Persistent link: https://www.econbiz.de/10000936487
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Market transparency
Nilsson, Arvid - 2001
Persistent link: https://www.econbiz.de/10001604447
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On seasonal error correction when the processes include different numbers of unit roots
Lyhagen, Johan (contributor); Löf, Mårten (contributor) - 2001 - [Elektronische Ressource], Rev. March 15, 2001
forecast mean squared error criterion and certain parameter estimation results indicate that, in practice, a cointegration …We propose a seasonal cointegration model [SECM] for quarterly data which includes variables with different numbers of … forecast, is an ordinary VAR model, also in annual differences. -- Seasonal cointegration ; forecasting …
Persistent link: https://www.econbiz.de/10001600047
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On seasonality and cointegration
Löf, Mårten - 2001
Persistent link: https://www.econbiz.de/10001582796
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The market impact of short-sale constraints
Nilsson, Roland - 2005
Persistent link: https://www.econbiz.de/10002993690
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Finite dimensional realizations of forward price term structure models
Gaspar, Raquel M. (contributor) - 2004 - [Elektronische Ressource]
In this paper we study a fairly general Wiener driven model for the term structure of forward prices. The model, under a fixed martingale measure, Q, consists of two infinite dimensional stochastic differential equations (SDEs). The first system is a standard HJM model for (forward) interest...
Persistent link: https://www.econbiz.de/10002450616
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A new approach to the derivation of asset price bounds
Rodríguez Longarela, Iñaki (contributor) - 2001 - [Elektronische Ressource], Rev. October 19, 2001
In a two-period setup we develop a generalization of good-deal bounds that allows to include in the problem the implications of asset pricing models. Our basis is the distance behind Hansen and Jagannathan's measure of model misspecification since a volatility constraint on the stochastic...
Persistent link: https://www.econbiz.de/10001600073
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Do forward markets enhance competition? : experimental evidence
Le Coq, Chloé (contributor); Orzen, Henrik (contributor) - 2002 - [Elektronische Ressource], Rev. October 1, 2004
Hedging risks is an important rationale for the existence of forward markets. However, Allaz and Vila (1993) show that …
Persistent link: https://www.econbiz.de/10001693096
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Long-term supply contracts and collusion in the electricity market
Le Coq, Chloé (contributor) - 2004 - [Elektronische Ressource], First draft: May 2003, This draft: February 2004
It has been argued that having a contract market before the spot market enhances competition (Allaz and Vila, 1993). Taking into account the repeated nature of electricity markets, we check the robustness of the argument that the access to contract markets reduces the market power of generators....
Persistent link: https://www.econbiz.de/10001923038