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An Empirical Examination of Stability, Predictability, and Volatility of Middle Eastern and African Emerging Stock Markets

Haque, Mahfuzul; Hassan, M. Kabir; Maroney, Neal C; … - In: Review of Middle East Economics and Finance 2 (2004) 1, pp. 18-41

This paper examines the stability, predictability, volatility, time varying risk premiums and persistence of shocks to … volatility in the ten Middle Eastern and African (ME&A) emerging stock markets. Although the majority of ME&A markets only … finds ME&A markets to be unpredictable. The findings on volatility in the emerging market indicate that eight out of the ten …

Persistent link: https://www.econbiz.de/10014618727

Verzerrungen von Konsumentenpreisindices und ihr Einfluss auf das „reale“ Wirtschaftswachstum – dargestellt am Beispiel der USA / Biases in Consumer Price Indices and Their Impact...

Hartwig, Jochen; Schips, Bernd - In: Jahrbücher für Nationalökonomie und Statistik 225 (2005) 4, pp. 394-412

. Es erweist sich, dass die Divergenz in den Wachstumsraten der USA und der EU seit 1997 fast zur Gänze auf …

Persistent link: https://www.econbiz.de/10014609054

Nonrevealing Equilibria and Consumption-Based Asset Pricing Models

Gunderson, James E - In: Topics in Theoretical Economics 6 (2006) 1

In the rational expectations equilibrium of this paper, agents have private information and differing information partitions and therefore assign differing conditional distributions to asset payoffs and other economic variables relevant to their investment choices. Standard asset pricing models...

Persistent link: https://www.econbiz.de/10014589092

The Meaningfulness of Statistical Significance Tests in the Analysis of Simulation Results

Troitzsch, Klaus G. - In: International Journal of Agent Technologies and Systems … 8 (2016) 1, pp. 18-45

This article discusses the question of whether significance tests on simulation results are meaningful at all. It is also argued that it is the effect size much more than the existence of the effect is what matters. It is the description of the distribution function of the stochastic process...

Persistent link: https://www.econbiz.de/10012043089

Thermal Power Plant Modelling with Fault Coverage Stochastically

Goyal, Nupur; Ram, Mangey; Bhardwaj, Akshay; Kumar, Amit - In: International Journal of Manufacturing, Materials, and … 6 (2016) 3, pp. 28-44

The present research work proposes a mathematical model of thermal power plant to analyse its performance through reliability measures. Evaluation of reliability measure for thermal power plant is a complex process. The thermal power plant is modelled using Markov process and explored the...

Persistent link: https://www.econbiz.de/10012046628

Matching as a Stochastic Process

Bolle, Friedel; Otto, Philipp E. - In: Jahrbücher für Nationalökonomie und Statistik 236 (2016) 3, pp. 323-348

Abstract Results of multi-party bargaining are usually described by concepts from cooperative game theory, in particular by the core. In one-on-one matching, core allocations are stable in the sense that no pair of unmatched or otherwise matched players can improve their incomes by forming a...

Persistent link: https://www.econbiz.de/10014609913

Non-Linear Properties of the VIX Index

Magafas, L.; Hanias, M.; Tavlatou, A.; Kostantaki, P. - In: International Journal of Productivity Management and … 5 (2017) 2, pp. 16-24

This paper applies non-linear methods to analyze and predict the daily VIX index which is one of the most important stock indexes in the world. The aim of the analysis is to quantitatively show if the corresponding time series is a deterministic chaotic one and if one or more days ahead...

Persistent link: https://www.econbiz.de/10012047129

Early News is Good News: The Effects of Market Opening on Market Volatility

Gallo, Giampiero M.; Pacini, Barbara - In: Studies in Nonlinear Dynamics & Econometrics 2 (1998) 4

the conditional volatility models of the GARCH class. We find that the differences between the opening price of one day … effects of modifying the direct impact of daily innovations on volatility and reducing the estimated overall persistence of …

Persistent link: https://www.econbiz.de/10014620805

GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model

Ghysels, Eric; Jasiak, Joanna - In: Studies in Nonlinear Dynamics & Econometrics 2 (1998) 4

durations, and vice versa. Otherwise, the spacings between trades are consideredexogenous to the volatility dynamics. This … volatility and intratrade durations. Undergeneral conditions, we propose several Generalized Method of Moments (GMM) estimation … of the IBM 1993 tick-by-tick data. We find some evidence that volatility of IBM stock pricesGranger-causes intratrade …

Persistent link: https://www.econbiz.de/10014620806

Partially Anticipated Monetary Policy Shocks – Are They Stabilizing or Destabilizing?

Offick, Sven; Wohltmann, Hans-Werner - In: Jahrbücher für Nationalökonomie und Statistik 236 (2016) 1, pp. 95-127

Abstract This paper uses a dynamic framework of a small open economy to study the volatility effects of partially … stabilizing, i. e. lead to a lower volatility than a fully anticipated monetary policy shock of the same form. (ii) However, we …

Persistent link: https://www.econbiz.de/10014609557