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Stock volatility in the periods of booms and stagnations

Kaizoji, Taisei - 2010

time series of each of these indices in the two periods: booms and stagnations, and investigate the statistical properties …The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in … periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the …

Persistent link: https://www.econbiz.de/10011524072

A comment on the relationship between firms' size and growth rate

Bottazzi, Giulio (contributor) - 2007

Since the seminal work of Pareto, many empirical analyses suggested that the distribution of firms size is characterized by an asymptotic power like behavior. At the same time, recent investigations show that the distribution of annual growth rates of business firms displays a remarkable...

Persistent link: https://www.econbiz.de/10003744944

Firms formation and growth in the model with heterogeneous agents and monitoring

Marko, Peter (contributor); Švarc, Petr (contributor) - 2008

In this article we extend the agent-based model of firms’ formation and growth proposed in [4]. In [4] the firms‘ creation, expansion or contraction results from the interaction of heterogeneous utility maximizers. While the original model was able to replicate the power law distribution in...

Persistent link: https://www.econbiz.de/10003790274

An empirically based model of the supply schedule in day-ahead electricity markets

Sapio, Sandro (contributor) - 2006

The first part of this paper establishes some new pieces of evidence on the dynamics of prices and volumes in wholesale electricity day-ahead markets (NordPool, APX, Powernext). The growth of prices is more strongly autocorrelated than the growth of volumes; it is more more heavy-tailed; and its...

Persistent link: https://www.econbiz.de/10003321432

Economic growth of agglomerations and geographic concentration of industries : evidence for Germany

Geppert, Kurt (contributor); Gornig, Martin (contributor); … - 2006

The vast majority of regions in West Germany, and the EU, have become more similar in terms of per-capita income and productivity between 1980 and 2000. But a number of rich areas - generally large agglomerations - have succeeded in departing from this trend of convergence. They are continuing...

Persistent link: https://www.econbiz.de/10003324227

When did the 2001 recession really start?

Polzehl, Jörg (contributor); … - 2006

The paper develops a non-parametric, non-stationary framework for business-cycle dating based on an innovative statistical methodology known as Adaptive Weights Smoothing (AWS). The methodology is used both for the study of the individual macroeconomic time series relevant to the dating of the...

Persistent link: https://www.econbiz.de/10003324447

Árszínvonal-konvergencia az új EU tagországokban: egy panel-regressziós modell eredményei

Darvas, Zsolt M.; Szapáry, György - 2009

Az új EU tagállamok gazdasági folyamatainak szembeötlõ jellegzetessége az egy fõre jutó GDP-ben mutatkozó felzárkózásuk, illetve az ezzel kapcsolatos árszínvonalbeli konvergencia. Amennyiben ez a jövõben is folytatódni fog, akkor az inflációra és árfolyamra vonatkozó...

Persistent link: https://www.econbiz.de/10003824132

On J.M. Keynes' "The principal averages and the laws of error which lead to them" : refinement and generalisation

Klein, Ingo; Grottke, Michael - 2008

Keynes (1911) derived general forms of probability density functions for which the “most probable value” is given by the arithmetic mean, the geometric mean, the harmonic mean, or the median. His approach was based on indirect (i.e., posterior) distributions and used a constant prior...

Persistent link: https://www.econbiz.de/10003894722

Maximum likelihood estimation of the symmetric and asymmetric exponential power distribution

Bottazzi, Giulio (contributor); Secchi, Angelo (contributor) - 2008

We introduce a new 5-parameter family of distributions, the Asymmetric Exponential Power (AEP), able to cope with asymmetries and leptokurtosis and at the same time allowing for a continuous variation from non-normality to normality. We prove that the Maximum Likelihood (ML) estimates of the AEP...

Persistent link: https://www.econbiz.de/10003376118

Critical values for cointegration tests

MacKinnon, James G. - 2010

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by...

Persistent link: https://www.econbiz.de/10003919736

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