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A Long Memory Conditional Variance Model for International Grain Markets
Jin, Hyun Joung - 2008
The study explores a long memory conditional volatility model on international grain markets, demonstrating importance of modeling both temporal effects of volatility and long memory process. This study adopts six different volatility models, nested in an ARMA(p,q)- FIGARCH(P,D,Q), to capture...
Persistent link: https://www.econbiz.de/10009445769
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Simulating Statistical Power Curves with the Bootstrap and Robust Estimation
Herrington, Richard S. - 2001
Power and effect size analysis are important methods in the psychological sciences. It is well known that classical statistical tests are not robust with respect to power and type II error. However, relatively little attention has been paid in the psychological literature to the effect that...
Persistent link: https://www.econbiz.de/10009475066
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Essays on International Finance and Risk Sharing
Liu, Edith X. - 2010
The potential for economic agents to minimize risk through diversification is central to the study of finance. This dissertation analyzes the ability to diversify risks in an international context by studying risk sharing opportunities on two dimensions, consumption growth and portfolio wealth....
Persistent link: https://www.econbiz.de/10009439199
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Essays on Agency in International Finance.
Mukherjee, Rahul - 2010
Firms and investors often operate in environments with market imperfections and agency frictions. It is common wisdom that the effects of these microeconomic frictions are amplifed or mitigated by the quality of economic institutions in a country. Yet little is known about the precise channels...
Persistent link: https://www.econbiz.de/10009477490
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Analysis of carbon mitigation policies: feed-in tariffs, energy and carbon price interactions and competitive distortions on carbon markets
Johanna Reichenbach - 2011
I study several policy instruments for carbon mitigation with a focus on subsidies for renewable energies, emission taxes and emission allowances. In Chapter 1, I analyze the optimal design and the welfare implications of two policies consisting of an emission tax for conventional fossil-fuel...
Persistent link: https://www.econbiz.de/10009429024
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Minimally cross-entropic conditional density : a generalization of the GARCH model
Scherer, Matthias - 2011
practitioners. The GARCH model has been exceptionally successful in this area. Our approach, the minimally cross …-entropic conditional density (MCECD) model, is a generalization of GARCH(1,1) which can cope with conditional skewness and kurtosis. It is …
Persistent link: https://www.econbiz.de/10009434643
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The Relationship Between Energy Spot And Futures Prices: Evidence From The Australian Electricity Market
Worthington, Andrew C.; Higgs, Helen - 2004
conditional heteroskedasticity (GARCH) model is used to identify the magnitude and significance of mean and volatility spillovers … of strong ARCH and GARCH effects. Contrary to evidence from studies in North American electricity markets, the results …
Persistent link: https://www.econbiz.de/10009437450
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Market, interest rate and foreign exchange rate risk in Australian banking: A GARCH-M approach
Ryan, Suzanne K.; Worthington, Andrew C. - 2004
This study employs an extended version of the Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH …
Persistent link: https://www.econbiz.de/10009437451
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Multivariate GARCH hedge ratios and hedging effectiveness in Australian Futures Markets
Yang, Wenling; Allen, David E - 2005
We use the All Ordinaries Index and the corresponding Share Price Index futures contract written against the All Ordinaries Index to estimate optimal hedge ratios, adopting several specifications: an ordinary least squares-based model, a vector autoregression, a vector error-correction model...
Persistent link: https://www.econbiz.de/10009440863
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Dynamic Portfolio Construction and Portfolio Risk Measurement
Mazibas, Murat - 2011
on Giamouridis and Vrontos (2007), a broad set of multivariate GARCH models, as well as, the simpler exponentially … weighted moving average (EWMA) estimator of RiskMetrics (1996) are considered. It is found that, while multivariate GARCH … of range, regime switching, nonlinear filtration, and GARCH frameworks. Any incremental improvement in the performance of …
Persistent link: https://www.econbiz.de/10009440952