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Tenuous financial stability
Valev, Neven T. (contributor); Carlson, John A. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001893232
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East Asia : the road to recovery
1998 - 1. print.
Persistent link: https://www.econbiz.de/10000672150
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Corporate governance in the Asian financial crisis
Johnson, Simon; Boone, Peter David; Breach, Alasdair; … - 1999 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001648682
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Lending of last resort, moral hazard and twin crises : lessons from the Bulgarian financial crisis 1996-1997
Berlemann, Michael (contributor); Hristov, Kalin (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001868493
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The effects of transition and political instability on foreign direct investment inflows : Central Europe and the Balkans
Brada, Josef C. (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10002551584
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Cointegrating smooth transition regressions with applications to the Asian currency crisis
Saikkonen, Pentti; Choi, In - 2000
This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...
Persistent link: https://www.econbiz.de/10009612025
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Semiparametric modelling of the cross-section of expected returns in the German stock market
Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997
According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...
Persistent link: https://www.econbiz.de/10009661022
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …
Persistent link: https://www.econbiz.de/10009627286
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Lag selection in subset VAR models with an application to a US monetary system
Brüggemann, Ralf; Lütkepohl, Helmut - 2000
Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...
Persistent link: https://www.econbiz.de/10009583885
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Forecasting the real output using fractionally integrated techniques
Gil-Alaña, Luis A. - 2001
The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show that the series can be specified in terms of I(d) statistical models with d...
Persistent link: https://www.econbiz.de/10009613608