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Efficient Market Hypothesis in South Africa: Evidence from a threshold autoregressive (TAR) model
Van Heerden, Dorathea; Rodrigues, Jose; Hockly, Dale; … - Volkswirtschaftliche Fakultät, … - 2013
This study deviates from the conventional use of a linear approach in testing for the efficiency market hypothesis (EMH) for the Johannesburg Stock Exchange (JSE) between the periods 2001:01 to 2013:07. By making use of a threshold autoregressive (TAR) model and corresponding asymmetric unit...
Persistent link: https://www.econbiz.de/10011110409
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Price, value and profit – a continuous, general, treatment
Freeman, Alan - Volkswirtschaftliche Fakultät, … - 1996
This text comprises chapter 13 of Marx and non-equilibrium Economics[1]. It provides a general mathematical specification of a non-equilibrium interpretation of Marx’s theory of value. It refutes the Okishio theorem and solves the transformation problem. It is a foundation work of scholarship...
Persistent link: https://www.econbiz.de/10005787091
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Macroeconomic Risks and Characteristic-Based Factor Models
Aretz, Kevin; Bartram, Söhnke M.; Pope, Peter F. - Volkswirtschaftliche Fakultät, … - 2010
We show that book-to-market, size, and momentum capture cross-sectional variation in exposures to a broad set of … momentum therefore serve as proxy composite macroeconomic risk factors. Conditional and unconditional cross-sectional asset … macroeconomic factors identified in the prior literature as potentially important for pricing equities. The factors considered …
Persistent link: https://www.econbiz.de/10011107928
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The Employment Cycles of Neighboring Cities
Wall, Howard J. - 2011
-neighbors. Specifically, neighboring cities with similar levels of educational attainment and establishment size tend to have more …
Persistent link: https://www.econbiz.de/10013126966
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Business Cycle Synchronisation in EU : A Time-Varying Approach
Degiannakis, Stavros Antonios - 2018
This paper investigates the time-varying correlation between the EU12-wide business cycle and the initial EU12 member-countries based on Scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980-2012. The paper provides evidence that changes in the business cycle...
Persistent link: https://www.econbiz.de/10012910120
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Real GDP per capita in developed countries
Kitov, Ivan - Volkswirtschaftliche Fakultät, … - 2006
Growth rate of real GDP per capita is represented as a sum of two components – a monotonically decreasing economic trend and fluctuations related to a specific age population change. The economic trend is modeled by an inverse function of real GDP per capita with a numerator potentially...
Persistent link: https://www.econbiz.de/10005835493
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Two speed Europe and business cycle synchronization in the European Union: The effect of the common currency
Gogas, Periklis; Kothroulas, George - Volkswirtschaftliche Fakultät, … - 2009
The purpose of this paper is to examine the effectiveness of the policies and procedures towards economic convergence between the countries that participated in the European Exchange Mechanism I and which are now members states of the Eurozone. The question is whether the introduction of the...
Persistent link: https://www.econbiz.de/10005835532
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An endogenous profit rate cycle
Freeman, Alan - Volkswirtschaftliche Fakultät, … - 1997
Endogenous business cycles can be generated using second-order linear equation systems. A generally accepted criticism of linear models is that only one value of the control parameter produces self-sustaining stable cycles. The problem therefore remains of accounting for the most salient...
Persistent link: https://www.econbiz.de/10005835725
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Decomposing violence: terrorist murder in the twentieth century in the U.S.
Gomez-Sorzano, Gustavo - Volkswirtschaftliche Fakultät, … - 2006
Abstract: I apply the Beveridge-Nelson business cycle decomposition method to the time series of murder in the United States (1900-2004). Separating out “permanent” from “cyclical” murder, I hypothesize that the cyclical part coincides with documented waves of organized crime, internal...
Persistent link: https://www.econbiz.de/10005835859
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An empirical analysis of the curvature factor of the term structure of interest rates
Modena, Matteo - Volkswirtschaftliche Fakultät, … - 2008
macroeconomic variables. The yield curve is summarized by few latent factors (level, slope, and curvature) which are obtained …
Persistent link: https://www.econbiz.de/10005836194