In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...

Fraudulent financial reporting is a matter of great social and economic concern. Managers may distort financial statements so as to present their companies more favorably to investors or creditors. On the other hand, auditors are the ones who are expected to identify fraudulent financial...

In almost all stages of forecasting volatility, certain subjective decisions need to be made. Despite of an enormous literature in the area, these subjectivities are hindrances to reaching an overall conclusion on the performances of the models. In order to find out outperforming model in...

The paper examines the determinants of inflation in some West African countries. Using the Johansen technique and time series between 1970q1 and 2010q4 the study determines whether inflation in these African countries is mainly imported (via import prices and exchange rate movements) or...

This study investigated the impact of external debt on economic growth of Tanzania for the period of 1990-2010. The study used time series data on external debt and economic performance. It is assumed that external debt helps developing countries to meet developing needs. While debt servicing...

This paper aims at providing quantitative analysis of the dynamics of money supply, exchange rate and inflation in Nigeria. The paper utilizes secondary data that were obtained from the International Financial Statistics (IFS), of all variables investigated in the model. The sample covers...

In this study, we treat the seasonal variation in monthly time series in the context of the Western-European tourism demand for Tunisia, by presenting different techniques of detection of seasonality and the parametric and non-parametric approaches of seasonal adjustment. Then, we compare the...

We present a medium-scale dynamic factor model to estimate and forecast the rate of growth of the Spanish economy in the very short term. The intermediate size of the model overcomes the serious specification problems associated with large scale-models and the implicit loss of information of...

This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900-2006. This is equivalent to testing if the Real Exchange Rate is a stationary variable or if its components (the nominal exchange rate and the relative prices) are...

Some researchers, for example, Koop [1], and Sims [2], have advocated for Bayesian alternatives to unit-root testing over the classical approach using the augmented Dickey-Fuller test (ADF). This paper studies the power of what Koop [1] has called the Objectiveʺ Bayesian approach to unit-root...