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An empirical estimation for mean-reverting coal prices with long memory
Sun, Qi; Xu, Weijun; Xiao, Weilin - In: Economic Modelling 33 (2013) C, pp. 174-181
In this paper we discuss the calibration issues of power models built on mean-reverting processes combined with long memory. The unknown parameters of fractional mean-reversion processes are estimated by a hybrid estimation method, which is built upon the marriage of the quadratic variation and...
Persistent link: https://www.econbiz.de/10011048787
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The impact of American depositary receipts on the Japanese index: Do industry effect and size effect matter?
Chen, Mei-ping; Lee, Chien-Chiang; Hsu, Yi-Chung - In: Economic Modelling 28 (2011) 1, pp. 526-539
market, and such a phenomenon is considered as an adverse influence. Nonlinear Granger causality and Bayesian factor analysis … are employed to investigate the nonlinear relationship between ADR and LD. The results indicate the existence of a … nonlinear relationship between ADR and LD by employing Bayesian factor analysis, which has never been employed in the related …
Persistent link: https://www.econbiz.de/10010573282
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Dynamic Modeling Under Linear-Exponential Loss
Anatolyev, Stanislav - 2008
We develop a methodology of parametric modeling of time series dynamics when the underlying loss function is linear-exponential (Linex). We propose to directly model the dynamics of the conditional expectation that determines the optimal predictor. The procedure hinges on the exponential quasi...
Persistent link: https://www.econbiz.de/10014054441
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A wavelet decomposition approach to crude oil price and exchange rate dependence
Reboredo, Juan C.; Rivera-Castro, Miguel A. - In: Economic Modelling 32 (2013) C, pp. 42-57
This paper studies the relationship between oil prices and US dollar exchange rates using wavelet multi-resolution analysis. We characterized the oil price–exchange rate relationship for different timescales in an attempt to disentangle the possible existence of contagion and interdependence...
Persistent link: https://www.econbiz.de/10010664397
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Home bias and the persistence of real exchange rates
Chen, Show-Lin; Wu, Jyh-Lin - In: Economic Modelling 28 (2011) 1, pp. 55-59
This paper investigates the half-life of real exchange rates after taking into account the impact of home bias. Empirical results indicate that the half-life of real exchange rates is in the range of 1.5 to 2years for four out of five countries after controlling the impact of home bias. These...
Persistent link: https://www.econbiz.de/10010573295
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Measuring business cycles: A temporal disaggregation model with regime switching
Huang, Yu-Lieh - In: Economic Modelling 29 (2012) 2, pp. 283-290
monthly figures. Alternative to the existing literature, our model is able to capture the nonlinear behaviors of both …
Persistent link: https://www.econbiz.de/10010573336
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Estimating and forecasting residential electricity demand in Iran
Pourazarm, Elham; Cooray, Arusha - In: Economic Modelling 35 (2013) C, pp. 546-558
This study examines the short- and the long-run relationship between electricity demand and its determinants in the Iranian residential sector. The study employs unit root tests, cointegration and error-correction models on annual time series for the period, 1967–2009. The results show that...
Persistent link: https://www.econbiz.de/10010719381
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Can Google data help predict French youth unemployment?
Fondeur, Y.; Karamé, F. - In: Economic Modelling 30 (2013) C, pp. 117-125
According to the growing “Google econometrics” literature, Google queries may help predict economic activity. The aim of our paper is to test whether these data can enhance predictions of youth unemployment in France.
Persistent link: https://www.econbiz.de/10011048762
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The determinants of FDI in Turkey: A Markov Regime-Switching approach
Bilgili, Faik; Tülüce, Nadide Sevil Halıcı; Doğan, … - In: Economic Modelling 29 (2012) 4, pp. 1161-1169
of FDI, runs several nonlinear FDI equations in which the basic determinants of FDI in Turkey are determined through … follows a nonlinear relationship, MSMs fit data better than the linear models. This paper eventually follows maximum …
Persistent link: https://www.econbiz.de/10011048930
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Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test
Emirmahmutoglu, Furkan; Omay, Tolga - In: Economic Modelling 40 (2014) C, pp. 184-190
literature. The recent theoretical findings have pointed out that the real exchange rate series exhibit asymmetric nonlinear …. To this end, we propose a nonlinear heterogeneous panel unit root test where the alternative hypothesis allows for … linear and symmetric nonlinear heterogeneous panel unit root tests are against the PPP hypothesis, the asymmetric nonlinear …
Persistent link: https://www.econbiz.de/10010781980