Narrow search
Showing 1 - 10 of 3,191
Cover Image
Quantitative comparisons on the intrinsic features of foreign exchange rates between the 1920s and the 2010s : case of the USD-GBP exchange rate
Han, Young Wook - In: East Asian economic review 20 (2016) 3, pp. 365-390
This paper quantitatively compares the intrinsic features of the daily USD-GBP exchange rates in two different periods, the 1920s and the 2010s, under the same freely floating exchange rate system. Even though the foreign exchange markets in the 1920s seem to be much less organized and developed...
Persistent link: https://www.econbiz.de/10011765010
Cover Image
Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks
Zhou, Su - 1998
This paper examines the long-run validity of purchasing power parity (PPP) for four high-inflation countries. The … test PPP using Johansen's (1988) multivariate cointegration technique. The cointegration tests are conducted with the …, during the recent floating exchange rate period, PPP holds well, at least in a weak form, in high-inflation countries where …
Persistent link: https://www.econbiz.de/10014071881
Cover Image
The PPP hypothesis and structural breaks : the case of Mexico
Gómez-Zaldívar, Manuel; Ventosa-Santaulària, Daniel; … - In: Empirical economics : a journal of the Institute for … 45 (2013) 3, pp. 1351-1359
Persistent link: https://www.econbiz.de/10010222388
Cover Image
How stable are monetary models of the dollar-euro exchange rate? : a time-varying coefficient approach
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009
This paper examines the significance of different fundamental regimes by applying various monetary models of the exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro (the DM). We use monthly data from 1975:01 to 2007:12....
Persistent link: https://www.econbiz.de/10010207061
Cover Image
Selected techniques of detecting structural breaks in financial volatility
Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 32-43
We investigate several promising algorithms, proposed in literature, devised to detect sudden changes (structural breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm is carried out via numerical simulation in the case of...
Persistent link: https://www.econbiz.de/10011393264
Cover Image
The changing dynamics of US inflation persistence : a quantile regression approach
Tillmann, Peter; Wolters, Maik H. - 2014
We examine both the degree and the structural stability of inflation persistence at different quantiles of the conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation rate. As economic theory provides reasons for inflation...
Persistent link: https://www.econbiz.de/10010357837
Cover Image
Combination of forecasts across estimation windows : an application to air travel demand
Jungmittag, Andre - 2014
This paper applies combining forecasts of air travel demand generated from the same model but over different estimation windows. The combination approach used resorts to Pesaran and Pick (2011), but the empirical application is extended in several ways. The forecasts are based on a seasonal...
Persistent link: https://www.econbiz.de/10010367205
Cover Image
Trend estimation with penalized splines as mixed models for series with structural breaks
Blöchl, Andreas - 2014
On purpose to extract trend and cycle from a time series many competing techniques have been developed. The probably most prevalent is the Hodrick Prescott filter. However this filter suffers from diverse shortcomings, especially the subjective choice of its penalization parameter. To this point...
Persistent link: https://www.econbiz.de/10010350102
Cover Image
ARFIMA modelling and investigation of structural break(s) in West Texas Intermediate and Brent series
Jibrin, Sanusi A.; Musa, Yakubu; Zubair, Umar A.; … - In: CBN journal of applied statistics 6 (2015) 2, pp. 59-79
The research used a long memory or Autoregressive Fractionally Integrated Moving Average model to study and forecast crude oil prices using weekly West Texas Intermediate and Brent series for the period 15/5/1987 to 20/12/2013. Fractional differencing Methods such as Local Whittle Estimator and...
Persistent link: https://www.econbiz.de/10011460488
Cover Image
Estimating the economic effects of deregulation : evidence from the Turkish airline industry
Çetin, Tamer; Eryiğit, Kadir Y. - 2015
This paper mainly studies the effect of deregulation on prices and quantity. For this aim, we employ cointegration methodology with structural breaks to empirically investigate the simultaneous relationship between deregulation, ticket prices, and the number of passengers in the Turkish airline...
Persistent link: https://www.econbiz.de/10011389427