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Nonstationary-volatility robust panel unit root tests and the great moderation : conference paper
Hanck, Christoph; Czudaj, Robert - 2013
This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the `Great Moderation.' It also proposes a new testing approach for panel …
Persistent link: https://www.econbiz.de/10010343777
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Nonstationary-volatility robust panel unit root tests and the great moderation
Hanck, Christoph; Czudaj, Robert - 2013
This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the "Great Moderation". It also proposes a new testing approach for panel …
Persistent link: https://www.econbiz.de/10009779045
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Environmental degradation and output volatility : a global perspective
Majeed, Muhammad Tariq; Mazhar, Maria - In: Pakistan journal of commerce and social sciences 13 (2019) 1, pp. 180-208
This study examines the link between environmental indicators and output volatility unlike the previous literature that mainly emphasized the importance of carbon emissions and economic growth nexus. Output uncertainty is considered a serious global issue as it undermines economic gains and...
Persistent link: https://www.econbiz.de/10012001061
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Greenhouse gas emissions and the stability of equity markets
Aharon, David Y.; Baig, Ahmed S.; Jacoby, Gady; Wu, Zhenyu - In: Journal of international financial markets, … 92 (2024), pp. 1-20
Persistent link: https://www.econbiz.de/10014535711
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Current account sustainability in the US : what did we really know about it?
Christopulos, Dēmētrēs K.; León-Ledesma, Miguel A. - In: Journal of international money and finance 29 (2010) 3, pp. 442-459
Persistent link: https://www.econbiz.de/10003947740
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Purchasing power parity before and after the adoption of the euro
Zhou, Su; Bahmani-Oskooee, Mohsen; Kutan, Ali Mustafa - In: Review of world economics 144 (2008) 1, pp. 134-150
Persistent link: https://www.econbiz.de/10003684161
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Current account sustainability in the US : what do we really know about its?
Christopulos, Dēmētrēs K. (contributor);  … - 2004 - [Elektronische Ressource]
We revisit the debate on the sustainability of the current account dynamics in the US. Using the concept of sustainability as the ability to meet the long run intertemporal budget constraint, we test for unit roots in the US current account for the 1960-2004 period. We argue that there are...
Persistent link: https://www.econbiz.de/10002364771
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Investor attention and crude oil prices : evidence from nonlinear Granger causality tests
Li, Sufang; Zhang, Hu; Yuan, Di - In: Energy economics 84 (2019), pp. 1-12
Persistent link: https://www.econbiz.de/10012183252
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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH) and the two-state Markov-switching GARCH (MS-GARCH)...
Persistent link: https://www.econbiz.de/10011296114