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The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV have been attributed to jumps, structural breaks, non-linearities, or pure long memory. An important development has been the Heterogeneous Autoregressive (HAR) model and its...
Persistent link: https://www.econbiz.de/10011964976
Persistent link: https://www.econbiz.de/10013542193
This study investigated the relationship between financial development and economic growth for Ireland for the period 1965-2007 using a vector error correction model (VECM). Questions were raised whether financial development causes economic growth or reversely taking into account the positive...
Persistent link: https://www.econbiz.de/10009009823
This study examines the time series behavior of investment in physical capital, human capital (comprising education and health) and output in a co-integration framework, taking growth of primary gross enrolment rate and a dummy for structural adjustment programme (openness which has been...
Persistent link: https://www.econbiz.de/10009009827
This study examines the relationship between economic growth as measured by GDP per capita and foreign direct investment for Singapore, using the methodology of Granger causality and vector auto regression (VAR). Evidence shows that there is a unidirectional Granger causation from foreign direct...
Persistent link: https://www.econbiz.de/10009011162
This study examines the impact of volatility shifts on volatility persistence for three major sector indices of Istanbul Stock Exchange (ISE) and ISE National 100 index over the period beginning from 1997 and ending in 2009. The exponential generalized autoregressive conditional...
Persistent link: https://www.econbiz.de/10009501246
In recent years, the emergence of rising budget deficit is the main reason forcing economists to investigate the reasons for changes in fiscal balances. The purpose of the paper is to investigate the relationship between budget deficit and macroeconomic fundamentals using data from Azerbaijan....
Persistent link: https://www.econbiz.de/10009501320
This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities. To achieve this goal, we decompose an oil price shock to its underlying components, including macroeconomics and oil specific shocks. The applied methodology is the structural...
Persistent link: https://www.econbiz.de/10011438674
The current study examines the turn of the month effect on stock returns in 20 countries. This will allow us to explore whether the seasonal patterns usually found in global data; America, Australia, Europe and Asia. Ordinary Least Squares (OLS) is problematic as it leads to unreliable...
Persistent link: https://www.econbiz.de/10010509192
We estimate the steady state growth rate for the Nordic countries using a “knowledge economy” approach. An endogenous growth framework is employed, in which total factor productivity is a function of human capital (measured by average years of education), trade openness, research and...
Persistent link: https://www.econbiz.de/10013102859