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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
Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different … 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 …
Persistent link: https://www.econbiz.de/10011114116
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Finite Sample Properties of Tests Based on Prewhitened Nonparametric Covariance Estimators
Preinerstorfer, David - Volkswirtschaftliche Fakultät, … - 2014
We analytically investigate size and power properties of a popular family of procedures for testing linear restrictions on the coefficient vector in a linear regression model with temporally dependent errors. The tests considered are autocorrelation-corrected F-type tests based on prewhitened...
Persistent link: https://www.econbiz.de/10011275127
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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
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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
This paper analyzes the empirical relationship between the price-setting/consumer behavior and the sources of persistence in inflation and output. First, a small-scale New-Keynesian model (NKM) is examined using the method of moment and maximum likelihood estimators with US data from 1960 to...
Persistent link: https://www.econbiz.de/10011259899
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On whether foreign direct investment catalyzes economic development in Nigeria.
OKPARA, GODWIN CHIGOZIE - Volkswirtschaftliche Fakultät, … - 2012
’s Statistical Bulletin. For the assessment of this impact, the author used co-integration and error correction model to arrive at a …
Persistent link: https://www.econbiz.de/10009647379
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The case for higher frequency inflation expectations
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2011
I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...
Persistent link: https://www.econbiz.de/10009650037
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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