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An Approximate Wavelet MLE of Short- and Long-Memory Parameters

Jensen, Mark J. - In: Studies in Nonlinear Dynamics & Econometrics 3 (1999) 4

approximate an ARFIMA model's likelihood function with the series' wavelet coefficientsand their variances. Maximization of this … likelihood estimates of the ARFIMA model.By simultaneously maximizing the likelihood function over both the short and long … invertible parameter region of the ARFIMA model's moving average parameter, whereas thefrequency-domain MLE dramatically …

Persistent link: https://www.econbiz.de/10014620822

The long-term linkages between direct and indirect property in Australia

Yong, Jaime; Khoi Pham, Anh - In: Journal of Property Investment & Finance 33 (2015) 4, pp. 374-392

(ARFIMA) process to de-smooth a valuation-based direct property index. The authors establish directional lead …, and influences returns. The authors demonstrate that an ARFIMA process accounting for a smoothing bias up to lags of four …-REITs are substitutible in a multi-asset portfolio in the long and short term. Originality/value – The authors apply an ARFIMA …

Persistent link: https://www.econbiz.de/10014898673

Anti-persistence and long-memory behaviour of SAREITs

Ijasan, Kolawole; Tweneboah, George; Mensah, Jones Odei - In: Journal of Property Investment & Finance 35 (2017) 4, pp. 356-368

Purpose The purpose of this paper is to provide empirical evidence on the long-memory behaviour of South African real estate investment trusts (SAREITs). Design/methodology/approach The study employs a battery of advanced techniques to examine the behaviour of returns of 29 SAREIT equities...

Persistent link: https://www.econbiz.de/10014899008

Electricity generation as a determinant of unemployment in Pakistan

Rashid, Adnan; Ul Haq, Anwaar - In: Journal of Chinese Economic and Foreign Trade Studies 9 (2016) 2, pp. 102-112

Purpose The area about unemployment and its participation in the economic progress has been widely debated in literature. A significant number of studies on this impediment of economic boom have been found to consider the concept through Okun’s law. This study aims to apply some different...

Persistent link: https://www.econbiz.de/10014847608

The response of macroeconomic aggregates to monetary policy shocks in Pakistan

Rashid, Abdul; Jehan, Zainab - In: Journal of Financial Economic Policy 6 (2014) 4, pp. 314-330

Purpose – This paper aims to empirically examine how shocks to monetary policy measures (the short-term nominal interest rate and broad money supply) affect macroeconomic aggregates, namely, output growth of the economy, national price levels and the nominal exchange rate....

Persistent link: https://www.econbiz.de/10014866995

Stress test of banks in India across ownerships: a VAR approach

Banerjee, Sreejata; Murali, Divya - In: Studies in Economics and Finance 34 (2017) 4, pp. 527-554

Purpose This paper aims to examine whether the Indian banking system is robust to withstand unexpected shocks from external and domestic macroeconomic factors after financial liberalization in 1992. As proposed by and banking crisis follows financial liberalization. India embarked financial...

Persistent link: https://www.econbiz.de/10015014211

The impact of promotional mix on profit in the B2B sector

Siddhanta, Somroop; Banerjee, Neelotpaul - In: Marketing Intelligence & Planning 32 (2014) 5, pp. 600-615

Purpose – The purpose this paper is to analyze the causal relationship between promotional mix (PROMOMIX) which includes advertising, sales promotion, personal selling, direct marketing and gross profit (GRPROFIT) in the cement industry in India, while also trying to study their long-term and...

Persistent link: https://www.econbiz.de/10014947184

The tourism led growth hypothesis: the Lebanese case

Bassil, Charbel; Hamadeh, Mohamad; Samara, Nisrine - In: Tourism Review 70 (2015) 1, pp. 43-55

Purpose – The purpose of this paper is to study the direction of the causality between tourism development and economic growth in Lebanon between 1995 and 2013, after taking into consideration terrorist incidents and their intensities. These are considered as exogenous shocks that affect...

Persistent link: https://www.econbiz.de/10015034427