The purpose of the paper is to show some methods of extreme value theory through analysis of Pakistani financial data. It also introduced the fundamental of extreme value theory as well as practical aspects for estimating and assessing financial models for tail related risk measures.

This study explores the fundamental driving forces of regional equity market integration. The determinant factors are categorized into three dimensions: market attribute, economic fundamentals and world information. My sample consists of equity markets in 4 notable regional trading blocs: Latin...

This note conducts recursive Monte Carlo experiments on the Bartlett correction for a likelihood-based test on cointegrating vectors. The experiments show that the correction can reduce size distortions even in situations where regularity conditions for I(1) cointegration analysis are satisfied...

This paper proposes a specification of Wooldridge's (1995) two step estimation method in which selectivity bias is due to two sources rather than one. The main objective of the paper is to show how the method can be applied in practise. The application concerns an important problem in health...

This paper presents a method for selection of the optimal simultaneous equation system from a set of nested models under the condition of a small sample. The purpose of selection is to identify a model with the best prognostic possibilities. Multivariate AIC, BIC and AICC are used as the...

In this study, we use panel cointegration methods to investigate the relationship between stock prices and earnings-per-share (EPS). Furthermore, we consider whether stock prices respond to EPS under the different level of growth rate of operating revenue. The empirical result indicated that the...

Labor and product market regulations affect the unemployment rate without a doubt. Econometricians, however, have yet to establish an unequivocal significance of this impact. The bayesian model averaging approach applied in this paper permits to unambiguously identify institutional indicators...

In order to describe the process of tobacco quitting, we perform a VAR model and causality tests both on the monthly sales of tobacco products and nicotine dependence drugs in France, for the period going from February 2004 to April 2009. According to the path of tobacco quitting found out, it...

This paper compares the power of alternative tests for the level moment conditions in GMM estimation of a linear dynamic panel data model. The test statistic calculated conventionally can take on a negative value in finite samples even though it cannot be asymptotically. A straightforward...

The turmoil in credit markets has brought to the fore again the negative implications of the volatility of foreign bank-intermediated flows to emerging countries. This paper examines whether the adoption of a hard-peg regime can reduce shocks in foreign capital inflows. Using...