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This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...
Persistent link: https://www.econbiz.de/10011379456
and institutional determinants of financial crisis duration. Using an extensive database with 125 countries observed over … the period 1976-2017 and employing a discrete-time duration model, we find that the electoral cycle, political ideology … shows that, to better understand the dynamics of the duration of financial crises, it is essential to look at the duration …
Persistent link: https://www.econbiz.de/10013241871
Persistent link: https://www.econbiz.de/10000668367
Persistent link: https://www.econbiz.de/10003834268
The aim of this paper is to explore the patterns of trade duration across regions and to identify its determinants … variables on the duration of trade relationships from 96 countries from 1995 to 2004. Our results suggest first that the … duration of trade relationships increases with the region level of development: trade relationships from richer economies face …
Persistent link: https://www.econbiz.de/10003891903
rejected, we propose an estimation method to capture both aspects of the time trend. We establish consistency and some … distribution theory in the presence of a large sample. Moreover, we examine the proposed hypothesis tests and estimation methods …
Persistent link: https://www.econbiz.de/10011775194
Empirical growth regressions typically include mean years of schooling as a proxy for human capital. However, empirical research often finds that the sign and significance of schooling depends on the sample of observations or the specification of the model. We use a nonparametric local-linear...
Persistent link: https://www.econbiz.de/10009681433
We investigate economic and institutional determinants of ICT infrastructure for a broad cross section ofmore than 100 countries. The ICT variable is constructed from a principal components analysis. The explanatory variables are selected by variants of the Lasso estimator from the machine...
Persistent link: https://www.econbiz.de/10011552991
We examine the (potentially nonlinear) relationship between inequality and growth using a method which does not require an a priori assumption on the underlying functional form. This approach reveals a plateau completely missed by commonly used (nonlinear) parametric approaches - the economy...
Persistent link: https://www.econbiz.de/10010469680
forecast evaluation; provides additional Monte Carlo simulation results on GARCH model estimation and VaR prediction; extends …
Persistent link: https://www.econbiz.de/10013138328