Similar Search Results

Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2014

This paper uses monthly data from April 2005 to August 2013 for Taiwan to propose a novel tourism indicator, namely the Tourism Conditions Index (TCI). TCI accounts for the spillover weights based on the Granger causality test and estimates of the multivariate BEKK model for four TCI indicators...

Persistent link: https://www.econbiz.de/10010227695

Stock index volatility forecasting with high frequency data

Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002

The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longer horizon volatility forecasts. In this paper...

Persistent link: https://www.econbiz.de/10011326944

Short patches of outliers, ARCH and volatility modeling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...

Persistent link: https://www.econbiz.de/10011284080

On bubbles in cryptocurrency prices

Oordt, Maarten R. C. van - 2024

This paper investigates how cryptocurrencies relate to concepts such as bubbles, Ponzi-schemes and digital gold in a tractable model for cryptocurrency prices. Investors in the baseline equilibrium hold coins to sell them at a profit to future users if they anticipate in increase in...

Persistent link: https://www.econbiz.de/10014634056

Entrepreneurship and the business cycle

Koellinger, P. D.; Thurik, Adriaan R. - 2009

Persistent link: https://www.econbiz.de/10003851112

Identifying reduced-form relations with panel data

Vollebergh, Herman R. J.; Melenberg, Bertrand; … - 2007 - This version: September 13, 2007

The literature that tests for U-shaped relationships using panel data, such as those between pollution and income or inequality and growth, reports widely divergent (parametric and non-parametric) empirical findings. We explain why lack of identification lies at the root of these differences. To...

Persistent link: https://www.econbiz.de/10011372978

The bicausal relation between religion and income

Bettendorf, Leon; Dijkgraaf, Elbert - 2005

Persistent link: https://www.econbiz.de/10003233485

Time-weighted difference-in-differences : accounting for common factors in short T panels

Schenk, Timo - 2023

This paper proposes a time-weighted difference-in-differences (TWDID) estimation approach that is robust against … DID estimation through balancing the pre-treatment and post-treatment unobserved common factors. To conduct valid … estimation uncertainty. Revisiting a study on the effect of a cap-and-trade program on NOx emissions, TWDID estimation reduces …

Persistent link: https://www.econbiz.de/10013540632

Does the Canadian economy suffer from Dutch disease?

Beine, Michel; Bos, Charles S.; Coulombe, Serge - 2009

We argue that the failure to disentangle the evolution of the Canadian currency from the U.S. currency leads to potentially incorrect conclusions regarding the case of Dutch disease in Canada. We propose a new approach that is aimed at extracting both currency components and energy- and...

Persistent link: https://www.econbiz.de/10011379360

Price discovery on foreign exchange markets with differentially informed traders

Jong, Frank de; Mahieu, Ronald J.; Schotman, Peter C.; … - 1999

This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...

Persistent link: https://www.econbiz.de/10011301161

1
2
3
4
5
6
7
8
9
10
Next
Last