Narrow search
Showing 1 - 10 of 945
Cover Image
The real exchange rate misalignment : application of behavioral equilibrium exchange rate BEER to Morocco : 1980Q1 - 2012Q4
Lebdaoui, Hind - In: International journal of economics and finance 5 (2013) 10, pp. 36-50
Persistent link: https://www.econbiz.de/10010199592
Cover Image
Empirical testing of purchasing power parity validity in selected European Union countries
Plošinjak, Jelko; Festić, Mejra - In: Naše gospodarstvo : NG 67 (2021) 4, pp. 13-32
extransition economies. In the first phase of the empirical part of the research, the authors tested the stationarity of the real … exchange rate in a logarithm, while in the second phase, the cointegration of nominal exchange rate, domestic and foreign price … authors' knowledge, and taking into account Liu (1992), who states that it is more important to check the presence of co-integration …
Persistent link: https://www.econbiz.de/10012887177
Cover Image
Trends in the CZK development and AR(I)MA forecasting
Melcher, Ota - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 23 (2015) 2, pp. 3-21
Persistent link: https://www.econbiz.de/10011305425
Cover Image
Stationarity of Asian real exchange rates : an empirical application of multiple testing to nonstationary panels with a structural break
Matsuki, Takashi; Sugimoto, Kimiko - In: Economic modelling 34 (2013), pp. 52-58
Persistent link: https://www.econbiz.de/10010360616
Cover Image
Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...
Persistent link: https://www.econbiz.de/10011476095
Cover Image
Testing diffusion processes for non-stationarity
Hamrick, Jeff; Taqqu, Murad - In: Mathematical Methods of Operations Research 69 (2009) 3, pp. 509-551
Hochberg (J R Stat Soc Ser B, 59:289–300, 1995), we develop a test for non-stationarity of a one-dimensional diffusion based on …
Persistent link: https://www.econbiz.de/10010950292
Cover Image
On the empirical failure of purchasing power parity tests
Pelagatti, Matteo; Colombo, Emilio - Dipartimento di Statistica, Università degli Studi di … - 2012
-root and stationarity tests should reject the null according to their power properties. The performance of the most common unit …-root and stationarity tests in situations in which the law of one price holds is studied by means of a simulation experiment …
Persistent link: https://www.econbiz.de/10010548532
Cover Image
Unpuzzling the Purchasing Power Parity Puzzle
Pelagatti, Matteo; Colombo, Emilio - Dipartimento di Economia, Metodi Quantitativi e … - 2012
nor integrated, and so both unit-root and stationarity tests should reject the null according to their power properties …. The performance of the most common unit-root and stationarity tests in situations in which the law of one price holds is …
Persistent link: https://www.econbiz.de/10010901445
Cover Image
Testing diffusion processes for non-stationarity
Hamrick, Jeff; Taqqu, Murad - In: Computational Statistics 69 (2009) 3, pp. 509-551
Hochberg (J R Stat Soc Ser B, 59:289–300, 1995), we develop a test for non-stationarity of a one-dimensional diffusion based on …
Persistent link: https://www.econbiz.de/10010759501
Cover Image
Argentinean real exchange rate 1900-2006, test purchasing power parity theory
Bianco, Marcos José Dal - In: Estudios de Economia 35, 1 Year 2008, pp. 33-64
cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend …
Persistent link: https://www.econbiz.de/10005687613