Showing 1 - 10 of 3,667
In this paper we test for the presence of bubbles in the Nasdaq stock market index over the period 1994–2003 applying fractional integration techniques and allowing for structural breaks and non-linear adjustments of prices to dividends. The results show a significant structural break in 1998...
Persistent link: https://www.econbiz.de/10011063125
We propose in this article the use of the Quasi Maximum Likelihood Estimate of Robinson (QMLE, 1995a) for estimating the fractional differencing parameter in the real output and in the growth rate series of France, Italy and the U.K. This method is semiparametric and is robust to the different...
Persistent link: https://www.econbiz.de/10008487490
Persistent link: https://www.econbiz.de/10008925356
Economic theory implies that firms in a competitive market will adjust to long-run equilibrium levels of profitability …, resulting in mean reversion of profitability. Partial adjustment models are applied to farm-level data from Illinois to test for … mean reversion and autocorrelation in profitability. Results show that farm businesses revert to individual levels of …
Persistent link: https://www.econbiz.de/10005007753
This study investigates the mean-reversion characteristic in firm-specific earnings-to-price ratios (E/P ratios) and proposes two investment strategies based on the detected mean-reversion feature of E/P ratios. We differentiate our study from other research by analyzing firm-specific time...
Persistent link: https://www.econbiz.de/10010612830
Using multivariate unit root test methods, this Paper investigates the Purchasing Power Parity (PPP) hypothesis at the sectoral level across six European countries over the last seventeen years. Evidence of mean reversion toward PPP is found for the relative prices of some sectors and countries....
Persistent link: https://www.econbiz.de/10005504281
Valuation of electricity generating assets is of central importance as utilities are forced to spin-off generators with the introduction of competitive markets. A continuous-time mean reverting price path with stochastic upward jumps is proposed as an appropriate model for long-run competitive...
Persistent link: https://www.econbiz.de/10005513830
This paper describes the evolution of the daily Euro overnight interestrate (EONIA) by using several models containing the jump component such asa single regime ARCH-Poisson-Gaussian process, with either a piecewisefunction or an autoregressive conditional specification (ARJI) for the...
Persistent link: https://www.econbiz.de/10005515915
We develop some properties on the autocorrelation of the k-period returns for the general mean reversion (GMR) process in which the stationary component is not restricted to the AR(l) process but take the form of a general ARMA process. We then derive some properties of the GMR process and three...
Persistent link: https://www.econbiz.de/10005518280
In this paper, we test for the stationarity of European Union budget deficits over the period 1971 to 2006, using a panel of thirteen member countries. Our testing strategy addresses two key concerns with regard to unit root panel data testing, namely (i) the presence of cross-sectional...
Persistent link: https://www.econbiz.de/10005518399