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Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH
Sinha, Pankaj; Agnihotri, Shalini - Volkswirtschaftliche Fakultät, … - 2014
dimensions of market microstructure. It can be useful for precise volatility estimation and understanding liquidity of the … Bollerslev (1990), as this method helps in jointly estimating volatility equation of return and volume in one step estimation …Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different …
Persistent link: https://www.econbiz.de/10011114116
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Hot money and economic performance: An empirical analysis
Duasa, Jarita; Kassim, Salina - Volkswirtschaftliche Fakultät, … - 2008
The present study empirically examines the importance of foreign portfolio investment (FPI) or hot money from certain investor(s) or country(s) on Malaysian economic performance. In methodology, the study uses vector error correction (VECM) model of FPI inflows from major investors such as the...
Persistent link: https://www.econbiz.de/10005787177
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Comparison of time series with unequal length
Caiado, Jorge; Crato, Nuno; Peña, Daniel - Volkswirtschaftliche Fakultät, … - 2007
The comparison and classification of time series is an important issue in practical time series analysis. For these purposes, various methods have been proposed in the literature, but all have shortcomings, especially when the observed time series have different sample sizes. In this paper, we...
Persistent link: https://www.econbiz.de/10005789781
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Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS
Hall, Alastair R.; Han, Sanggohn; Boldea, Otilia - Volkswirtschaftliche Fakultät, … - 2008
In this paper, we present a limiting distribution theory for the break point estimator in a linear regression model estimated via Two Stage Least Squares under two different scenarios regarding the magnitude of the parameter change between regimes. First, we consider the case where the parameter...
Persistent link: https://www.econbiz.de/10005790127
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Causal Relationship Between Exports and Agricultural GDP in Pakistan
Memon, Manzoor Hussain; Baig, Waqar Saleem; Ali, Muhammad - Volkswirtschaftliche Fakultät, … - 2008
This paper is an attempt to investigate the causal relationships among agriculture and exports in Pakistan by using time series data for the period between 1971 and 2007. There are several efforts reflecting greater interest in exploring the possible relation between the international trade and...
Persistent link: https://www.econbiz.de/10005835581
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Herd behaviour in Malaysian capital market: An empirical analysis
Duasa, Jarita; Kassim, Salina - Volkswirtschaftliche Fakultät, … - 2008
This study examines the existence of herd behavior among foreign investors in the Malaysian capital market. In methodology, the study analyzes the herd behavior by estimating vector error correction (VECM) model of FPI inflows as well as FPI outflows from/to major investors such as the United...
Persistent link: https://www.econbiz.de/10005836076
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Estimation and inference in unstable nonlinear least squares models
Boldea, Otilia; Hall, Alastair R. - Volkswirtschaftliche Fakultät, … - 2010
In this paper, we extend Bai and Perron's (1998, Econometrica, pp. 47-78) method for detecting multiple breaks to nonlinear models. To that end, we consider a nonlinear model that can be estimated via nonlinear least squares (NLS) and features a limited number of parameter shifts occurring at...
Persistent link: https://www.econbiz.de/10008568351
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Estimating Structural Change with Smooth Transition Regressions: an Application to Meat Demand
Holt, Matthew T.; Balagtas, Joseph V. - Volkswirtschaftliche Fakultät, … - 2009
This paper explores the role of structural change in systems of demand equations. Specifically, we adapt the time—varying regression framework of Lin and Teräsvirta (1994), which in turn is related to the dynamic smooth transition models introduced by Teräsvirta (1994). Unlike previous...
Persistent link: https://www.econbiz.de/10005034588
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Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations
Jang, Tae-Seok - Volkswirtschaftliche Fakultät, … - 2012
classical estimation methods. Finally, the empirical performance of model selection methods is investigated using the Akaike …
Persistent link: https://www.econbiz.de/10011258525
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Testing long-run neutrality of money: evidence from Malaysian stock market
Puah, Chin-Hong; Habibullah, Muzafar Shah; Lim, Kian-Ping - Volkswirtschaftliche Fakultät, … - 2006
This paper presents the empirical evidence on the long-run neutrality (LRN) of money in the stock market in Malaysia using seasonal adjusted monthly data from 1978:1 to 1999:12 based on the bivariate ARIMA framework developed by Fisher and Seater (1993). Besides the main stock index, the...
Persistent link: https://www.econbiz.de/10011259493