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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
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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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An empirical investigation of the relationship between stock return and trading volume : evidence from the Jordanian banking sector
Al-Jafari, Mohamed Khaled; Tliti, Ahmad - In: Journal of applied finance & banking 3 (2013) 3, pp. 45-64
show a significant relationship between trading volumes and return volatility. Furthermore, Johansen’s cointegration …
Persistent link: https://www.econbiz.de/10010148092
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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
The aim of this paper is to empirically investigate the in sample and out of sample forecasting performance of several GARCH-type models such as GARCH, EGARCH and APARCH model with Gaussian, student-t, Generalized error distribution (GED), student-t with fixed DOF 10 and GED with fixed parameter...
Persistent link: https://www.econbiz.de/10010118432
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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
This paper develops a framework for evaluating the importance of the arrival of new information for forecasting, estimation, and decision making. By fusing known and recently developed statistical tests and concepts, the paper provides guidelines for detecting outliers, influential observations,...
Persistent link: https://www.econbiz.de/10009959113
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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
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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 … volatility shifts which are determined by using iterated cumulative sums of squares (ICSS) and modified ICSS algorithms such as … Kappa-1 (ê-1) and Kappa-2 (ê-2). The results indicate that the inclusion of volatility shifts in the model substantially …
Persistent link: https://www.econbiz.de/10009958079
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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
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Market efficiency in emerging economies : an empirical analysis of month-of-the-year effect
Mangala, Deepa; Lohia, Vandana - In: The IUP journal of applied finance : IJAF 19 (2013) 3, pp. 19-38
Persistent link: https://www.econbiz.de/10010185427
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A factor analysis for the Spanish economy
Cuevas, Ángel; Quilis, Enrique M. - In: SERIEs : Journal of the Spanish Economic Association 3 (2012) 3, pp. 311-338
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...
Persistent link: https://www.econbiz.de/10010030016