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Modelling the asymmetric volatility of electronics patents in the USA
Chan, Felix; Marinova, Dora; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 1, pp. 169-184
electronics patents reaching close to 170,000 in 1997. For the empirical analysis, the time-varying nature of volatility in the … activity, and hence on volatility, both symmetric and asymmetric models of volatility are estimated. The estimated models are …
Persistent link: https://www.econbiz.de/10011050523
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Internal and External R&D: A Sample Selection Approach
Piga, Claudio A.; Vivarelli, Marco - Max-Planck-Institut für Ökonomik, Max-Planck-Gesellschaft - 2003
This study explicitly takes into account that the decision to enter into an external R&D relationship is related to an antecedent decision to carry out R&D. This calls for a methodological approach that, at the same time, permits the joint analysis of the determinants of the two decisions and...
Persistent link: https://www.econbiz.de/10005765265
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Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility … and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long … memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the …
Persistent link: https://www.econbiz.de/10010732596
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the global … alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the conditional … mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The …
Persistent link: https://www.econbiz.de/10010732607
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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility … and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long … memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the …
Persistent link: https://www.econbiz.de/10010732623
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Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?
Dreger, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008
The real interest partity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper...
Persistent link: https://www.econbiz.de/10010896121
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Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a FAVAR Analysis
Dreger, Christian; Fidrmuc, Jarko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10010783955
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Institute of Economic Research, Kyoto University - 2010
their associated volatility. Inclusion of the exchange rate allows approximate daily price effects to be captured. The … tourist arrivals, test whether alternative short and long run estimates of conditional volatility are sensitive to the … approximate long memory in the conditional mean, examine asymmetry and leverage in volatility, and examine the effects of temporal …
Persistent link: https://www.econbiz.de/10008489840
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Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a FAVAR Analysis
Dreger, Christian; Fidrmuc, Jarko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10010661278
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Department of Economics and Finance, College of … - 2010
associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the global … alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the conditional … mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The …
Persistent link: https://www.econbiz.de/10010627491