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Is there a Friday the 13th Effect in Emerging Asian Stock Markets?

Auer, Benjamin R.; Rottmann, Horst - 2013

In this article, we revisit the Friday the 13th effect discussed by Kolb and Rodriguez (1987) that has received increased interest in recent research. Using a dummy-augmented GARCH model, we investigate whether the occurrence of this superstitious calendar day has significant impact on the...

Persistent link: https://www.econbiz.de/10010323003

Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification

Antypas, Antonios; Caporale, Guglielmo Maria; … - 2019

We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...

Persistent link: https://www.econbiz.de/10012179768

Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification

Antypas, Antonios - 2019

Persistent link: https://www.econbiz.de/10012857914

Cyber-Attacks and Cryptocurrencies

Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020

trading volume of five of the main cryptocurrencies (Bitcoin, Ethereum, Litecoin, XRP and Stellar) in 99 developed and … the US cyber security firms tend to overreact to cyberattacks affecting cryptocurrencies and more wealth is spent on cyber … security compared to other countries. Both hacktivism and cyber-warfare have a significant impact on cryptocurrencies …

Persistent link: https://www.econbiz.de/10012207889

Cointegration of Matched Home Purchases and Rental Price Indexes - Evidence from Sinpagore

Baltagi, Badi H.; Li, Jing - 2015

This paper exploits the homogeneity feature of the Singapore private residential condominium market and constructs matched home purchase price and rental price series using the repeated sales method. These matched series allow us to conduct time series analysis to examine the long-term present...

Persistent link: https://www.econbiz.de/10011388224

Signs of Impact Effects in Time Series Regression Models

Pesaran, M. Hashem; Smith, Ron P. - 2013

In this paper we consider the problem of interpreting the signs of the estimated coefficients in multivariate time series regressions where the regressors are correlated. Using a continuous time model, we argue that focussing on the signs of individual coefficients in such regressions could be...

Persistent link: https://www.econbiz.de/10010328761

Understanding Firms' Inflation Expectations Using the Bank of Canada's Business Outlook Survey

Richards, Simon; Verstraete, Matthieu - 2016

Inflation expectations are a key determinant of actual and future inflation and thus matter for the conduct of monetary policy. We study how firms form their inflation expectations using quarterly firm-level data from the Bank of Canada's Business Outlook Survey, spanning the 2001 to 2015...

Persistent link: https://www.econbiz.de/10011555532

Let the Data Speak? On the Importance of Theory-Based Instrumental Variable Estimations

Grossmann, Volker; Osikominu, Aderonke - 2019

In absence of randomized controlled experiments, identification is often aimed via instrumental variable (IV) strategies, typically two-stage least squares estimations. According to Bayes’ rule, however, under a low ex ante probability that a hypothesis is true (e.g. that an excluded...

Persistent link: https://www.econbiz.de/10012018160

Changing Current Net Nutrition with Weight as a Measure of Net Nutritional Change with the Transition from Bound to Free Labor: A Difference-in-Decompositions Approach

Carson, Scott A. - 2019

A population’s weight conditioned on height reflects its current net nutrition and demonstrates health variation during economic development. This study builds on the use of weight as a measure for current net nutrition and uses a difference-in-decompositions technique to illustrate how black...

Persistent link: https://www.econbiz.de/10012018193

Battling antibiotic resistance: can machine learning improve prescribing?

Ribers, Michael Allan; Ullrich, Hannes - 2019

Antibiotic resistance constitutes a major health threat. Predicting bacterial causes of infections is key to reducing antibiotic misuse, a leading driver of antibiotic resistance. We train a machine learning algorithm on administrative and microbiological laboratory data from Denmark to predict...

Persistent link: https://www.econbiz.de/10012052760

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