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Financial applications of ARMA models with GARCH errors
Ghahramani, M.; Thavaneswaran, A. - In: The Journal of Risk Finance 7 (2006) 5, pp. 525-543
principal method used for the research. The results were also illustrated using examples and simulation studies. Volatility … statistical properties of volatility modeling.  …
Persistent link: https://www.econbiz.de/10014901409
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Blood, Sweat, and Tears: The Rise and Decline of the East German Economy, 1949–1988 / Blut, Schweiß, Tränen: Aufstieg und Niedergang der ostdeutschen Wirtschaft, 1949–1988
Blum, Ulrich; Dudley, Leonard - In: Jahrbücher für Nationalökonomie und Statistik 220 (2000) 4, pp. 438-452
Summary The rise of the East-German economy in the 1950s and 1960s and its decline in the 1970s and 1980s is difficult to explain by neoclassical economics. However; the observed life cycle may be explained by the inclusion of concepts from old and new institutional economics and from functional...
Persistent link: https://www.econbiz.de/10014608780
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On the relationship between oil and equity markets: evidence from South Asia
Noor, Md Hasib; Dutta, Anupam - In: International Journal of Managerial Finance 13 (2017) 3, pp. 287-303
Purpose The purpose of this paper is to investigate the volatility linkage between global oil market and major South … vector autoregressive-generalized autoregressive conditional heteroskedastic model to examine whether shocks and volatility … analysis suggest that all the markets studied do receive volatility from the oil market. Not surprisingly, the authors do not …
Persistent link: https://www.econbiz.de/10014785503
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Oil and Unemployment in Germany
Löschel, Andreas; Oberndorfer, Ulrich - In: Jahrbücher für Nationalökonomie und Statistik 229 (2009) 2-3, pp. 146-162
Summary In this paper, we analyze oil price impacts on unemployment for Germany. Firstly, we survey theoretical and empirical literature on the oil-unemployment relationship and relate them to the German case. Secondly, we illustrate this issue within the framework of a vector autoregression...
Persistent link: https://www.econbiz.de/10014609255
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Regressive Oil Price Expectations Toward More Fundamental Values of the Oil Price
Reitz, Stefan; Rülke, Jan-Christoph; Stadtmann, Georg - In: Jahrbücher für Nationalökonomie und Statistik 230 (2010) 4, pp. 454-466
Summary We use oil price forecasts from the Consensus Economic Forecast poll for the time period Oct. 1989 - Dec. 2008 to analyze how forecasters form their expectations. Our findings indicate that the extrapolative as well as the regressive expectation formation hypothesis play a role. Standard...
Persistent link: https://www.econbiz.de/10014609296
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The impact of Iran Central Bank’s sanction on Tehran Stock Exchange
Salehi, Mahdi; Karimzadeh, Mostafa; Paydarmanesh, Navid - In: International Journal of Law and Management 59 (2017) 3, pp. 365-375
prices, and exchange rates have a positive effect on the TEPIX. In other words, the results of the econometric estimation …
Persistent link: https://www.econbiz.de/10014782194
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Oil price shocks and exchange rate in Nigeria
Babatunde, Musibau Adetunji - In: International Journal of Energy Sector Management 9 (2015) 1, pp. 2-19
Purpose – This study aims to examine the relationship between the oil price and the exchange rate for Nigeria between January 1997 and December 2012. Previous empirical studies revealed an ambiguous relationship between crude oil prices and exchange rates, a reason for exploring the...
Persistent link: https://www.econbiz.de/10014774117
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A new stochastic multi source approach to improve the accuracy of the sales forecasts
Cassettari, Lucia; Bendato, Ilaria; Mosca, Marco; … - In: foresight 19 (2017) 1, pp. 48-64
Purpose The aim of this paper is to suggest a new approach to the problem of sales forecasting for improving forecast accuracy. The proposed method is capable of combining, by means of appropriate weights, both the responses supplied by the best-performing conventional algorithms, which base...
Persistent link: https://www.econbiz.de/10014743632
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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
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Labour Laws and Informalisation of Employment: Panel Evidences from Indian Formal Manufacturing Sector
Sofi, Irfan Ahmad; Sharma, Pritee - In: Asian Journal of Law and Economics 6 (2015) 1, pp. 65-84
results show that the incidence of informal employment is directly linked with EPL, volatility, and labor bargaining power. We …
Persistent link: https://www.econbiz.de/10014585145