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Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10012756639

Planning Ahead for Better Neighborhoods : Long Run Evidence from Tanzania

Michaels, Guy - 2017

What are the long run consequences of planning and providing basic infrastructure in neighborhoods, where people build their own homes? We study “Sites and Services” projects implemented in seven Tanzanian cities during the 1970s and 1980s, half of which provided infrastructure in previously...

Persistent link: https://www.econbiz.de/10012944884

Fractional Integration and Cointegration in US Financial Time Series Data

Caporale, Guglielmo Maria - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...

Persistent link: https://www.econbiz.de/10013126003

Price Formation on the EuroMTS Platform

Caporale, Guglielmo Maria - 2013

This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...

Persistent link: https://www.econbiz.de/10013095113

Private Capital, Public Goods : Forest Plantations' Investment in Local Infrastructure and Social Services in Rural Tanzania

Degnet, Mohammed B. - 2017

and social services in rural Tanzania. We take a comparative approach involving households living in villages adjacent to …

Persistent link: https://www.econbiz.de/10012943387

How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market

Sattarhoff, Cristina - 2018

-established inference apparatus based on the generalised method of moments estimation technique. In an empirical application using data from …

Persistent link: https://www.econbiz.de/10012913274

Market Transparency and Fragility

Cespa, Giovanni - 2019

We show that dealers' limited market participation, coupled with an informational friction resulting from lack of market transparency, can make liquidity demand upward sloping, inducing strategic complementarities: traders demand more liquidity when the market becomes less liquid, fostering...

Persistent link: https://www.econbiz.de/10012902334

Dynamic Trading and Asset Prices : Keynes vs. Hayek

Cespa, Giovanni - 2011

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of...

Persistent link: https://www.econbiz.de/10013134234

Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10013141185

Simultaneous Search and Network Efficiency

Gautier, Pieter - 2011

When workers send applications to vacancies they create a network. Frictions arise if workers do not know where other workers apply to (this affects network creation) and firms do not know which candidates other firms consider (this affects network clearing). We show that those frictions and the...

Persistent link: https://www.econbiz.de/10013122129