Similar Search Results

A Reassessment of the Finance & Growth Nexus Using Monte Carlo Evidence

Franz, Thorsten - 2018

The small sample performance of system Generalized Method of Moments (GMM) and an alternative Transformed Maximum Likelihood (TML) estimator is investigated in Monte Carlo simulations, implementing a data generating process that tracks important features inherent in dynamic panels used in...

Persistent link: https://www.econbiz.de/10012934827

Robust Value at Risk Prediction : Appendix

Mancini, Loriano - 2010

This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice of the robustness tuning constants; describes the unconditional, independence and conditional coverage tests for VaR forecast evaluation; provides additional Monte Carlo...

Persistent link: https://www.econbiz.de/10013138328

Dynamic Panels, Cross Sectional Correlation, and Arbitrage in Equities Market

Huang, Xiao - 2018

This paper studies estimation in linear dynamic panel data models with multiple interactive effects when both N and T … are large. We derive the bias term in an order p dynamic panel data model and the limiting distribution of the estimator … between 2000 and 2015 shows dynamic panel data model is an effective method to produce effective trading strategies …

Persistent link: https://www.econbiz.de/10012938610

State dependence in the finance-growth nexus : a functional coefficient approach

Herwartz, Helmut; Walle, Yabibal - 2013

Noting that "one size does not fit all" in the case of the finance-growth (FG) nexus, a growing body of literature has recently focused on uncovering economic conditions under which financial development could be beneficial (detrimental) to economic development. We look into these conditions by...

Persistent link: https://www.econbiz.de/10009752169

The inequality-growth plateau

Henderson, Daniel J.; Qian, Junhui; Wang, Le - 2015

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

Common cycles in volatility and cross section of stock returns

Barunik, Jozef; Kraicova, Lucie - 2017

a portfolio of financial assets. We argue that the combination of quantile panel regression and wavelet decomposition of …

Persistent link: https://www.econbiz.de/10011722181

The environmental Kuznets curve : a semiparametric approach with cross-sectional dependence

Soberon, Alexandra; D'Hers, Irene - In: Journal of risk and financial management : JRFM 13 (2020) 11/292, pp. 1-23

particular, we propose to test the Environmental Kuznets Curve (EKC) hypothesis for a panel of 24 OECD countries and 32 non … semiparametric panel data model. Our results corroborates that the nature and validity of the income–pollution relationship …

Persistent link: https://www.econbiz.de/10012388215

How homogenous are currency crises? A panel study using multiple - response models

Anastasatos, Tassos; Davidson, Ian - 2022

large panel of data comprising 40 years of monthly observations on 23 developed countries. Heterogeneity, complemented by …

Persistent link: https://www.econbiz.de/10014080569

The Monetary Exchange Rate Model as a Long-Run Phenomenon

Groen, Jan J. - 2005

with the underlying theory. Based on a panel version of the Engle and Granger [Engle, R.F., Granger C.W.J., 1987. Co … the residuals of the panel-based estimated monetary model are stationary. This indicates that on a pooled time series …

Persistent link: https://www.econbiz.de/10014141544

Optimum Alcohol Use and Life Expectancy : A Panel Data Analysis

Georgiou, Miltiades N. - 2013

expectancy will be reduced. The sample covers all industrial world. Data are taken from OECD. The elaboration of these panel data …

Persistent link: https://www.econbiz.de/10013086924