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of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored …
Persistent link: https://www.econbiz.de/10005622096
of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored …
Persistent link: https://www.econbiz.de/10005789941
When estimating regional inequality, many economists use inequality indices weighted by the regions' shares in the national population. Although this approach is widespread, its adequacy has not received attention in the regional science literature. This paper proves that such approach is...
Persistent link: https://www.econbiz.de/10012943787
Extreme Value Theory is increasingly used in the modelling of financial time series. The non-normality of stock returns leads to the search for alternative distributions that allows skewness and leptokurtic behavior. One of the most used distributions is the Pareto Distribution because it allows...
Persistent link: https://www.econbiz.de/10013109505
revealed the absence of cointegration between the DJIM index and three conventional indexes such as DAX, HangSeng, KL. This … cointegrated, which implies there exists long run theoretical relationship among the indices. Presence of cointegration indicates …
Persistent link: https://www.econbiz.de/10011267863
The finding of nonlinear cointegration between Asian exchange rates with the corresponding relatives prices and …
Persistent link: https://www.econbiz.de/10011267871
precisely the cointegration. By the cointegration, one seeks to know if there is a long-term relation between the debt in% of …
Persistent link: https://www.econbiz.de/10011274391
North African Countries for the period 1980-2008. To this end, we use panel cointegration analysis and Error Correction …
Persistent link: https://www.econbiz.de/10011275130
approach, and we perform the cointegration and Granger causality analysis employing the methods of vector error correction …
Persistent link: https://www.econbiz.de/10011258602
real per capita income in Nigeria. Using cointegration and error correction approach, the study finds that oil revenue has …
Persistent link: https://www.econbiz.de/10011258687