Narrow search
Showing 1 - 10 of 436
Cover Image
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
targeting monetary policy. The results from Generalized Methods of Moments (GMM) estimation suggest that empirical findings are …
Persistent link: https://www.econbiz.de/10010160677
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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 …
Persistent link: https://www.econbiz.de/10009959113
Cover Image
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
Cover Image
Global imbalances in current account balances
Bildirici, Melike; Kayıkçı, Fazil - In: Journal of applied finance & banking 2 (2012) 6, pp. 83-93
Persistent current account deficits were observed in some developing countries that are received substantial foreign capital in the last decades. This has raised the issue of sustainability and increased the volume of studies about the measures of sustainable current account deficits in the...
Persistent link: https://www.econbiz.de/10010118422
Cover Image
Volatility modeling for forecasting stock index with fixed parameter distributional assumption
Rahman, Md. Mostafizur; Rahman, Md. Azizur; Hossain, … - In: Journal of applied finance & banking 3 (2013) 1, pp. 109-122
2150 observations is used for empirical analysis. We consider first 1950 observations for in sample estimation and last 200 … parameter 1.5 of GED density fail to improve the in sample estimation performance compared to student-t and GED distributional … assumption. Among all of these models, APARCH model with student-t density give better in sample estimation results. In case of …
Persistent link: https://www.econbiz.de/10010118432
Cover Image
Seasonal adjustment versus seasonality modelling : effect on tourism demand forecasting
Gasmi, Amira - In: Advances in management & applied economics 3 (2013) 4, pp. 119-132
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...
Persistent link: https://www.econbiz.de/10010148054
Cover Image
Euro and technology effects on job turnover in Greek manufacturing
Papadogonas, Theodore; Voulgaris, Fotini - In: International journal of economic sciences and applied … 3 (2010) 1, pp. 27-38
This paper investigates the effects of Greece's European Union (EU) accession and European Economic and Monetary Union (EMU) entry, as well as R&D intensity and industry concentration on job creation and job destruction in the Greek manufacturing sector. The study is based on firm-level economic...
Persistent link: https://www.econbiz.de/10009958052