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Threshold effects in the capital asset pricing model using panel smooth transition regression (PSTR) : evidence from net oil export and import groups
Nieh, Chien-chung; Yao, Hsueh-chu - In: Advances in management & applied economics 3 (2013) 2, pp. 179-192
In this study, we used the PSTR (panel smooth transition regression) model to investigate the nonlinear relationship … ; panel smooth transition regression model (PSTR) ; Schwarz's inequality ; triangle inequality …
Persistent link: https://www.econbiz.de/10009718901
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Cross-country evidence on the relation between equity prices and the current account
Berg, Tim Oliver - 2009
the period 1980 - 2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those … fluctuations, equity prices, panel vector autoregression …
Persistent link: https://www.econbiz.de/10010384487
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Comovements and structural factors of macroeconomic volatility in developing and transition economies : a dynamic panel data approach
Ouechtati, Ichraf; Zaouali, Amira - 2013
volatility in developing and transition economies, using dynamic panel technique. According to an analysis of variance and …
Persistent link: https://www.econbiz.de/10009788587
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The relation between overreaction in forecasts and uncertainty : a nonlinear approach
Leppin, Julian Sebastian - 2014 - This version: November 2014
account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression …
Persistent link: https://www.econbiz.de/10010438928
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Short Term Interest Rates Have a Negative Impact on Stock Returns; A Panel Data Analysis for Many European Economies
Georgiou, Miltiades N. - 2009
In the present paper the negative impact of interest rates on stock returns will be estimated for the European economies. Data are monthly during the year 2008 and cover the following countries: Belgium, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain. The elaboration of...
Persistent link: https://www.econbiz.de/10013156055
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The Effects of Exchange Rate Volatility on Korea's Automotive Industry Exports : A Panel Cointegration Analysis
Jung, Moon-Hyun - 2017
Conditional Heteroscedasticity [GARCH(1,1)] model and the standard deviation approach. To this end, the panel cointegration … 2001 to December 2014. The panel dynamic ordinary least squares (DOLS) and the panel fully modified ordinary squares (FMOLS …
Persistent link: https://www.econbiz.de/10012957613
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Factor Analysis with Large Panels of Volatility Proxies
Ghysels, Eric - 2014
the idiosyncratic errors of the panel. A remarkable result emerges. Under suitable regularity conditions the traditional …-sectional driven criteria suffice for consistent estimation of the number of factors, which is different from the traditional panel … data results. Finally, we also show that the panel data estimates improve upon the individual volatility estimates …
Persistent link: https://www.econbiz.de/10013056633
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Evaluating factor pricing models using high-frequency panels
Chang, Yoosoon; Choi, Yongok; Kim, Hwagyun; Park, Joon Y. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 889-933
This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...
Persistent link: https://www.econbiz.de/10011800879
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Does an independent central bank smooth exchange rate volatility? : evidence from time-varying panel causality analysis
Esen, Ömer; Çınar, Uğur - In: Journal of central banking theory and practice 13 (2024) 3, pp. 219-244
large data-set for the E7 (7 emerging countries) covering the period 1998-2017. This paper applies the time-varying panel …
Persistent link: https://www.econbiz.de/10015076477
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Modelling heterogeneity and dynamics in the volatility of individual wages
Hospido, Laura - 2010
calibrated to the data used in the empirical analysis, drawn from the 1968-1993 Panel Study of Income Dynamics. The empirical … the latter is driven by job mobility. The model also explains the non-normality observed in logwage data. -- Panel data …
Persistent link: https://www.econbiz.de/10003936729