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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

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

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

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

On whether foreign direct investment catalyzes economic development in Nigeria.

OKPARA, GODWIN CHIGOZIE - Volkswirtschaftliche Fakultät, … - 2012

This paper investigated the impact of Foreign Direct Investment on some selected macro-economic variables such as real GDP, gross fixed capital formation and unemployment. Data for the variables were sourced from the Central Bank of Nigeria’s Statistical Bulletin. For the assessment of this...

Persistent link: https://www.econbiz.de/10009647379

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

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

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

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

Inference regarding multiple structural changes in linear models estimated via two stage least squares

Hall, Alastair R.; Han, Sanggohn; Boldea, Otilia - Volkswirtschaftliche Fakultät, … - 2008

In this paper, we extend Bai and Perron’s (1998, Econometrica, p.47-78) framework for multiple break testing to linear models estimated via Two Stage Least Squares (2SLS). Within our framework, the break points are estimated simultaneously with the regression parameters via minimization of the...

Persistent link: https://www.econbiz.de/10005622193

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