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Economic Growth and the Volatility of Foreign Aid
Chervin, Michal; Wijnbergen, Sweder van - Tinbergen Instituut - 2010
volatility of aid on economic growth, controlling for the level of aid. A four-year panel analysis is conducted encompassing 155 … countries over the period 1966-2001. We find that once the volatility of aid is controlled for, aid has a positive impact on … economic growth. Correspondingly, volatility of aid flows is found to be negatively related to growth. We found no significant …
Persistent link: https://www.econbiz.de/10011255582
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Fiscal Sustainability, Volatility and Oil Wealth: A Stochastic Analysis of Fiscal Spending Rules
Wijnbergen, Sweder van; Budina, Nina - Tinbergen Instituut - 2011
This discussion paper resulted in a publication in the <A href="http://onlinelibrary.wiley.com/doi/10.1111/j.1468-0351.2011.00425.x/abstract;jsessionid=F64011DF99B22B6E2BF33FDA1C47DE9C.f04t03">'Economics of Transition'</A>, 2011, 19(4), 639-666.<P> Whether fiscal policy is sustainable depends on a government's future revenue and expenditure streams, both of which are highly uncertain. In commodity-rich countries, this problem is...</p></a>
Persistent link: https://www.econbiz.de/10011255697
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Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - Tinbergen Instituut - 2005
This discussion paper resulted in an article in the <I>Journal of the American Statistical Association</I> (2007). Vol. 102, issue 477, pages 16-27.<p> Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis...</p></i>
Persistent link: https://www.econbiz.de/10011256266
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Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - Tinbergen Instituut - 2012
This discussion paper led to a publication in the <I>Electronic Journal of Statistics</I> (2014). Vol. 8, pages 1088-1112.<P> We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We...</p></i>
Persistent link: https://www.econbiz.de/10011256295
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Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices
Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - Tinbergen Instituut - 2003
Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series.For the older electricity market of Nord Pool in Norway, it is found that a …
Persistent link: https://www.econbiz.de/10011256477
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …
Persistent link: https://www.econbiz.de/10011256871
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How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?
Chu, Lan-Fen; McAleer, Michael; Chen, Chi-Chung - Tinbergen Instituut - 2013
This paper analyzes two indexes in order to capture the volatility inherent in El Niños Southern Oscillations (ENSO … suitable for modelling ENSO volatility accurately, and that 1998 is a turning point, which indicates that the ENSO strength has …
Persistent link: https://www.econbiz.de/10011257017
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Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis
McAleer, Michael; Suen, John; Wong, Wing Keung - Tinbergen Instituut - 2013
produces returns that are significantly greater than buy and hold strategies, but also produces greater wealth compared with TA …
Persistent link: https://www.econbiz.de/10011257455
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Do Daily Retail Gasoline Prices adjust Asymmetrically?
Bettendorf, Leon; Geest, Stephanie van der; Kuper, Gerard - Tinbergen Instituut - 2005
in the daily retail price for gasoline (taxes excluded) for the period 1996-2004 taking care of volatility clustering by … estimating an EGARCH model. It turns out the volatility process is asymmetrical: an unexpected increase in the producer price has …
Persistent link: https://www.econbiz.de/10011257551
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Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-Chung; … - Tinbergen Instituut - 2013
volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH … the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other …
Persistent link: https://www.econbiz.de/10011257617