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Are the current accounts of Asian-5 economies mean-reverting? : new evidence from Fourier panel stationarity tests
Husein, Jamal; Kara, S. Murat; Pier, Chuck - In: Cogent economics & finance 11 (2023) 2, pp. 1-11
This study offers a novel examination of the mean-reversion properties of the current account balances, expressed as a percentage of GDP, for the Asian-5 economies: Indonesia, Korea, Malaysia, the Philippines, and Thailand. While prior studies mainly employed traditional unit-root tests, our...
Persistent link: https://www.econbiz.de/10014501140
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Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...
Persistent link: https://www.econbiz.de/10008748137
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Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...
Persistent link: https://www.econbiz.de/10008749839
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Binomial Autoregressive Moving Average Models with an Application to U.S. Recessions
Startz, Richard - 2006
Binary Autoregressive Moving Average (BARMA) models provide a modeling technology for binary time series analogous to the classic Gaussian ARMA models used for continuous data. BARMA models mitigate the curse of dimensionality found in long lag Markov models and allow for non-Markovian...
Persistent link: https://www.econbiz.de/10012734286
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Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2011
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...
Persistent link: https://www.econbiz.de/10009308298
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Sudden stop regimes and output : a Markov switching analysis
Bachmann, Andreas; Leist, Stefan - 2013
Sudden stops in capital inflows were a main characteristic of the emerging market crisis during the 1990's. Concerns about them have recurred in the light of recently increased global stability risk and the quantitative easing that led to substantial capital inflows in emerging economies. We add...
Persistent link: https://www.econbiz.de/10010199563
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Forecasting Macedonian business cycle turning points using Qual VAR model
Petrovska, Magdalena; Krstevska, Aneta; Naumovski, Nikola - Narodna Banka na Republika Makedonija - 2016
This paper aims to assess the usefulness of leading indicators in business cycle research and forecast. Initially we … indicators performs in forecasting turning points of the Macedonian business cycle by employing the Qual VAR approach of Dueker … (2005). In continuation, we evaluate the quality of the selected indicators in pseudo-out-of-sample context. The results …
Persistent link: https://www.econbiz.de/10011623919
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Efficient bargaining and the skill-structure of wages and employment
Kaiser, Ulrich; Pohlmeier, Winfried - 2000
This paper presents structural estimates for a bargaining model which nests the right-to-manage, the efficient wage bargaining, the seniority and the standard neoclassical labor demand model as special cases. In contrast to most existing models, our approach accounts for heterogeneous skill...
Persistent link: https://www.econbiz.de/10011544363
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Econometric analysis of financial transaction data : pitfalls and opportunities
Hautsch, Nikolaus; Pohlmeier, Winfried - 2001
The recent availability of large data sets covering single transactions on financial markets has created a new branch of econometrics which has opened up a new door of looking at the microstructure of financial markets and its dynamics. The specific nature of transaction data such as the...
Persistent link: https://www.econbiz.de/10011544938
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A Discrete Time Series Model for High Frequency Financial Data
Mitchell, Heather Eunice - 2012
In this paper a flexible model for correlation in high frequency data is proposed, which maintains the data's discrete nature and captures features such as asymmetry and excess zeros. The model uses an a theoretical approach based on that of an ARIMA model. This model works with price changes...
Persistent link: https://www.econbiz.de/10013104300