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Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate
Souto, Marcos; Barnhill, Theodore M. - International Monetary Fund (IMF) - 2007
Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is possible to increase the probability mass toward the tails and to match reasonably...
Persistent link: https://www.econbiz.de/10005825598
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Has the Link Between the Spot and Forward Exchange Rates Broken Down? Evidence from Rolling Cointegration Tests
Kutan, Ali; Zhou, Su - In: Open Economies Review 14 (2003) 4, pp. 369-379
Recent literature reported conflicting results about the cointegration relationship between the spot and forward exchange rates. Applying rolling cointegration tests to the mark, yen, and Swiss franc with respect to the U.S. dollar for the post-80 period, we find that the relationship between...
Persistent link: https://www.econbiz.de/10005543038
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Measuring Contagion with a Bayesian Time-Varying Coefficient Model
Rebucci, Alessandro; Ciccarelli, Matteo - International Monetary Fund (IMF) - 2003
We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...
Persistent link: https://www.econbiz.de/10005263948
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Predictability of Equity Models
Valls Pereira, Pedro L.; Chicaroli, Rodrigo - Volkswirtschaftliche Fakultät, … - 2009
In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the …. We then use the variance ratio profile together with a Monte Carlo simulation for the selection of models with potential … predictability. Unlike Burgess (1999), we carry out White’s Reality Check (2000) in order to verify the existence of positive returns …
Persistent link: https://www.econbiz.de/10004980415
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Testing for Cointegration Using the Johansen Methodology When Variables Are Near-Integrated
Österholm, Pär; Hjalmarsson, Erik - International Monetary Fund (IMF) - 2007
We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching...
Persistent link: https://www.econbiz.de/10005599304
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The log-linear return approximation, bubbles, and predictability
Engsted, Tom; Pedersen, Thomas Q.; Tanggaard, Carsten - School of Economics and Management, University of Aarhus - 2010
show that a bubble model in which expected returns are constant can explain the predictability of stock returns from the …
Persistent link: https://www.econbiz.de/10008462020
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Testing for Panel Cointegration with Multiple Structural Breaks
Westerlund, Joakim - Nationalekonomiska Institutionen, Ekonomihögskolan - 2005
This paper proposes an LM test for the null hypothesis of cointegration that allows for the possibility of multiple structural breaks in both the level and trend of a cointegrated panel regression. The test is general enough to allow for endogenous regressors, serial correlation and an unknown...
Persistent link: https://www.econbiz.de/10005419379
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A Methodology for the Choice of the Best Fitting Continuous-Time Stochastic Models of Crude Oil Price: The Case of Russia
Mostafaei, Hamidreza; Sani, Ali Akbar Rahimzadeh; … - In: International Journal of Energy Economics and Policy 3 (2013) 2, pp. 137-142
oil price is a stationary series. The simulation of continuous-time stochastic processes and the mean square error between …
Persistent link: https://www.econbiz.de/10010640670
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Dividend Smoothing and Predictability
Chen, Long; Da, Zhi; Priestley, Richard - In: Management Science 58 (2012) 10, pp. 1834-1853
The relative predictability of returns and dividends is a central issue because it forms the paradigm to interpret … predictability. We show that even if dividends are supposed to be predictable without smoothing, dividend smoothing can bury this … predictability. Because aggregate dividends are dramatically more smoothed in the postwar period than before, the lack of dividend …
Persistent link: https://www.econbiz.de/10010990450
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Riding the South Sea Bubble
Temin, Peter; Voth, Hans-Joachim - Barcelona Graduate School of Economics (Barcelona GSE) - 2003
This paper presents a case study of a well-informed investor in the South Sea bubble. We argue that Hoare's Bank, a fledgling West End London banker, knew that a bubble was in progress and that it invested knowingly in the bubble; it was profitable to "ride the bubble." Using a unique dataset on...
Persistent link: https://www.econbiz.de/10010851420