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The New Keynesian Phillips Curve in an inflation targeting country : the case of Turkey
Gozgor, Giray - In: International journal of economic sciences and applied … 6 (2013) 1, pp. 7-18
The possible short-run trade-off between the inflation (gap) and the output (gap) remains a critical policy issue for … any emerging economy; particularly when an implicit or an explicit inflation targeting monetary policy is considered. The … New Keynesian Phillips Curve (NKPC) has recently set up a framework on the trade-off between the inflation (gap) and the …
Persistent link: https://www.econbiz.de/10010160677
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The power of the “objective” Bayesian unit-root test
Ahking, Francis W. - In: The open economics journal 2 (2009), pp. 71-79
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...
Persistent link: https://www.econbiz.de/10010080118
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Hedging Italian equity mutual fund returns during the recent financial turmoil : a duration-dependent Markov-switching approach
Zagaglia, Paolo - In: Journal of applied finance & banking 3 (2013) 3, pp. 325-337
We study optimal hedging design for returns on an Italian equity mutual fund index since 2008. Alternative hedging instruments include one-month futures contracts for FTSE-MIB, FTSE100 and Xetra DAX. We use bivariate models of our Italian equity mutual fund index and each hedging instrument to...
Persistent link: https://www.econbiz.de/10010148077
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Forecasting movement of the Nigerian Stock Exchange All Share index using artificial neural and Bayesian networks
Bola, Adetunji Abigail; Adesola, Aderounmu Ganiyu; … - In: Journal of finance and investment analysis 2 (2013) 1, pp. 41-59
This paper presents a study of Artificial Neural Network (ANN) and Bayesian Network (BN) for use in stock index prediction. The data from Nigerian Stock Exchange (NSE) market are applied as a case study. Based on the rescaled range analysis, the neural network was used to capture the...
Persistent link: https://www.econbiz.de/10010148286
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A parametric measure of productivity change from hyperbolic distance function : application to the Vietnamese banking industry
Vu, Ha; Turnell, Sean - In: Journal of applied finance & banking 2 (2012) 5, pp. 63-96
This paper introduces a new parametric measure of productivity change using the hyperbolic distance function. More specifically, the paper first estimates a stochastic translog hyperbolic distance function, which satisfies regularity conditions, using the Bayesian approach. Then it derives an...
Persistent link: https://www.econbiz.de/10010058696
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Algunas observaciones acerca del uso de software en la estimación del modelo Half-Normal
Ortega Irizo, Francisco Javier; Gavilán Ruiz, José Manuel - In: Revista de métodos cuantitativos para la economía y … 11 (2011), pp. 3-16
the case in which the estimation obtained suggests the absence of random factors in the composite error term. We have … other hand, no estimation is obtained in the previous situation, with LIMDEP software, but an error message. -- stochastic …
Persistent link: https://www.econbiz.de/10009957389
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A time-varying parameter vector autoregression model for forecasting emerging market exchange rates
Kumar, Manish - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 21-39
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...
Persistent link: https://www.econbiz.de/10009958060
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Volatility shifts and persistence in variance : evidence from the sector indices of Istanbul Stock Exchange
Çağlı, Efe Çağlar; Mandacı, Pınar Evrim; … - In: International journal of economic sciences and applied … 4 (2011) 3, pp. 119-140
This study examines the impact of volatility shifts on volatility persistence for three major sector indices of Istanbul Stock Exchange (ISE) and ISE National 100 index over the period beginning from 1997 and ending in 2009. The exponential generalized autoregressive conditional...
Persistent link: https://www.econbiz.de/10009958079
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On the importance of the arrival of new information
Chumacero, Rómulo A. - In: Estudios de economía 37 (2010) 2, pp. 207-215
, estimation, and decision making. By fusing known and recently developed statistical tests and concepts, the paper provides … methodology is applied to analyze the Chilean CPI inflation. -- news ; innovation ; outlier ; influential analysis …
Persistent link: https://www.econbiz.de/10009959113
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Modeling stock market indexes with copula functions
Leśkow, Jacek; Mokrzycka, Justyna; Krawiec, Kamil - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 2, pp. 1-16
Contemporary financial risk management is significantly based on the analysis of time series of returns. One of the most significant errors frequently committed by analysts is the predominant use of normal distributions when it is clear that the returns are not normal. Copula models and models...
Persistent link: https://www.econbiz.de/10009959716