Showing 1 - 10 of 105
Persistent link: https://www.econbiz.de/10000889047
Persistent link: https://www.econbiz.de/10000889864
Persistent link: https://www.econbiz.de/10000898298
Persistent link: https://www.econbiz.de/10003280702
We emphasize the importance of properly identifying the long-run relations underlying the monetary model of the exchange rate. The separate estimation of long-run money demands leads to a "structural" error correction equation which allows an interpretation of the various channels affecting the...
Persistent link: https://www.econbiz.de/10009574885
We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove...
Persistent link: https://www.econbiz.de/10009577459
A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that there exist monotonic transformations such that the normalised series can asymptotically be represented by independent Brownian motions. Rank test procedures based...
Persistent link: https://www.econbiz.de/10009578004
When people decide about saving and consumption across the various periods of their life time they take into account their life expectancy when comparing present and future needs and resources for satisfying them. The experimental design, applied at two sites (Humboldt-University at Berlin and...
Persistent link: https://www.econbiz.de/10009578010
Individuals frequently transfer commodities without an explicit contract or an implicit enforcement mechanism. We design an experiment to study whether such commodity transfers can be viewed as investments based on trust and reciprocity, or whether they rather resemble presents with...
Persistent link: https://www.econbiz.de/10009578011
Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...
Persistent link: https://www.econbiz.de/10009578026