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In this paper, we revisit the empirical evidence on the relationship between trade openness and long-run economic growth over the sample period 1960-2000. In contrast to previous studies focusing mainly on the period 1970-1990, this paper reassesses the openness-growth nexus over a much longer...
Persistent link: https://www.econbiz.de/10010308944
short- and long-range dependence. An iterative data-driven algorithm combines MLE and kernel estimation. Predictions combine …
Persistent link: https://www.econbiz.de/10010324055
In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
Persistent link: https://www.econbiz.de/10010326350
Trading in commodity derivatives on exchange platforms is an instrument to achieve price discovery, better price risk management, besides helping macro-economy with better resource allocation. Since the inception (2003) of national online trading on multi-commodity exchange platforms, the trade...
Persistent link: https://www.econbiz.de/10011807622
This study proposes a novel framework for the joint modelling of commodity forward curves. Its key contribution is twofold. First, dynamic correlation models are applied in this context as part of the modelling scheme. Second, we introduce a family of dynamic conditional correlation models based...
Persistent link: https://www.econbiz.de/10010318781
distributional assumptions, the choice of the welfare statistics of interest, the procedure for computing them, outliers, undesirable …
Persistent link: https://www.econbiz.de/10011325006
uncertainty, we use Least Trimmed Squares, a robust estimation technique, to identify outliers and investigate how they affect the … the sample than previously claimed, and that outliers affect the results. Nevertheless trust seems quite important …
Persistent link: https://www.econbiz.de/10010321616
outliers and influential observations. A variety of diagnostic methods are employed to identify these influential observations … methods utilised proved incapable of identifying or accommodating the gross outlier(s) in the data, the more successful …
Persistent link: https://www.econbiz.de/10010262358
the sample. These extreme observations, or outliers, often have a large impact on the results of statistical analyses … this, the detection of outliers and their appropriate treatment is often dealt with in a rather sloppy manner. One reason … the presence of outliers. Our paper intents to improve on this situation by presenting a highly robust method for …
Persistent link: https://www.econbiz.de/10010269751
systematize the investigation of outlier influence on the results by using the robust estimation technique Least Trimmed Squares …. We find that when outliers (especially China) are removed, the trust-growth relationship is no longer robust. On average …
Persistent link: https://www.econbiz.de/10010320031