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We introduce imperfect information in stock prices determination. Agents receive a noisy signal about the structural shock driving future dividend variations. Equilibrium stock prices include a transitory "noise bubble" which can be responsible for boom and bust episodes unrelated to economic...
Persistent link: https://www.econbiz.de/10013043876
important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use … negative bubbles in the short-, medium- and long-term stock markets of the G7 countries. While detecting major crashes and … of oil price uncertainty on the bubbles indicators. After controlling for the impacts of output growth, inflation, and …
Persistent link: https://www.econbiz.de/10015210403
Persistent link: https://www.econbiz.de/10010191411
context of ARFIMA(1,d,0) model by examining the finite sample properties of popular estimation methods, including semi …
Persistent link: https://www.econbiz.de/10013309000
parameters. Simulation studies suggest that the SML method can accurately estimate both models. Our empirical analysis of several …
Persistent link: https://www.econbiz.de/10013251601
provides a computationally more efficient alternative to several recently proposed algorithms. We present extensive simulation …
Persistent link: https://www.econbiz.de/10013005987
the residuals and then employ the WLS-based estimation of the bubble dates. We demonstrate by Monte Carlo simulations that …
Persistent link: https://www.econbiz.de/10014354236
Apart from a priori assumptions on instantaneous or long run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, second order heterogeneity of systems of times series can be fruitfully exploited for...
Persistent link: https://www.econbiz.de/10010482469
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10003770817
Smooth Transition GARCH and the Markov-Switching GARCH models. Simulation experiments reveal that information criteria and …
Persistent link: https://www.econbiz.de/10011297653