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Is the effect of exchange rate volatility on export diversification symmetric or asymmetric? Evidence from Ghana

Obeng, Camara Kwasi - In: Cogent Economics & Finance 6 (2018) 1, pp. 1-11

assumed a symmetric relationship between the two variables. However, because volatility could be positive or negative and … economic agents react to these changes differently, recent studies argue for the adoption of an asymmetric approach to the … (ARDL) and Nonlinear Autoregressive Distributed Lag (NARDL) techniques to investigate asymmetric effects of exchange rate …

Persistent link: https://www.econbiz.de/10011988851

Mental time travel and retirement savings

Blake, David; Pickles, John - In: Journal of Risk and Financial Management 14 (2021) 12, pp. 1-13

We portray the valuation of retirement savings in terms of a mental time travel journey in which a proposed contribution to a pension plan is projected forward to the plan member's retirement date and this projected value is then discounted back to today, thereby giving a present or personal...

Persistent link: https://www.econbiz.de/10013201264

Effects of multiple financial news shocks on tourism demand volatility modelling and forecasting

Zhang, Yuruixian; Choo, Wei Chong; Wan, Cheong Kin; Ho, … - In: Journal of Risk and Financial Management 15 (2022) 7, pp. 1-47

Even though both symmetric and asymmetric conceptions of news impacts are well-established in the disciplines of …

Persistent link: https://www.econbiz.de/10014332480

Merger negotiations and ex-post regret

Gärtner, Dennis; Schmutzler, Armin - 2007

We consider a setting in which two potential merger partners each possess private information pertaining both to the profitability of the merged entity and to stand-alone profits, and we investigate the extent to which this private information makes ex-post regret an unavoidable phenomenon in...

Persistent link: https://www.econbiz.de/10010315578

Powerful t-Tests in the presence of nonclassical measurement error

Kim, Dongwoo; Wilhelm, Daniel - 2023

This paper proposes a powerful alternative to the t-test of the null hypothesis that a coefficient in linear regression is equal to zero when a regressor is mismeasured. We assume there are two contaminated measurements of the regressor of interest. We allow the two measurement errors to be...

Persistent link: https://www.econbiz.de/10014480598

A Proposed Hybrid Effect Size Plus p-Value Criterion. A Comment on Goodman et al. (The American Statistician, 2019)

Pütz, Peter; Kramer-Sunderbrink, Arne; Dreher, Robin Tim; … - In: Journal of Comments and Replications in Economics (JCRE) 1 (2022) 2022-4, pp. 1-15

In a recent simulation study, Goodman et al. (2019) compare several methods with regard to their type I and type II error rates when considering a thick null hypothesis that includes all values that are practically equivalent to the point null hypothesis. They propose a hybrid decision criterion...

Persistent link: https://www.econbiz.de/10013469560

Symmetric oil price shocks and government expenditure-real exchange rate nexus: ARDL and SVAR models for an oil-based economy, 1970-2018

Algaeed, Abdulaziz Hamad - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-18

Historically, oil has been the main source of earnings in the Saudi Arabian economy. Different from other symmetric oil … price shock studies, the aim of this paper is to test the impacts of symmetric oil price shocks on government expenditure …-real exchange rate nexus and ultimately, to check the conformity of symmetric oil price shock findings to those prevailing in …

Persistent link: https://www.econbiz.de/10012657620

Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances

Chang, Chia-Lin; McAleer, Michael; Wang, Yanghuiting - 2016

gas spot markets, a large number of hedging strategies can be used, especially with the rapid development of natural gas … spot, futures and ETF markets using the multivariate conditional volatility diagonal BEKK model. The data used include … natural gas spot and futures returns data from two major international natural gas derivatives markets, namely NYMEX (USA) and …

Persistent link: https://www.econbiz.de/10011526124

Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China

Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016

The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns shock in...

Persistent link: https://www.econbiz.de/10011526130

Testing for stationarity in a cointegrated system

Kunst, Robert M. - 2002

In systems of variables with a specified or already identified cointegrating rank, stationarity of component variates can be tested by a simple restriction test. The implied decision is often in conflict with the outcome of unit root tests on the same variables. Using a framework of Bayes...

Persistent link: https://www.econbiz.de/10010292762

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