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Have bull and bear markets changed over time? Empirical evidence from the US-stock market
Grobys, Klaus - In: Journal of Finance and Investment Analysis 1 (2012) 1, pp. 151-171
This contribution analyzes bull and bear markets from 1954:1-2011:2 in the US-stock index S&P 500. Thereby, a 2-State-Markov-Switching model is applied to figure out bull and bear market regimes within the latter period, whereby the estimated state probabilities are used to estimate a dummy...
Persistent link: https://www.econbiz.de/10010286823
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Country specific environmental Kuznets curves: A random coefficient approach applied to high-income countries
Figueroa B., Eugenio; Pastén C., Roberto - In: Estudios de Economía 36 (2009) 1, pp. 5-32
Cross-country estimations of the Environmental Kuznets Curve (EKC) to empirically analyze the relationship between income and pollution have generally assumed a common structure for all countries. Since this latter feature is not supported by economic theory, this paper uses the Random...
Persistent link: https://www.econbiz.de/10010289467
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Forecast Evaluation of Explanatory Models of Financial Variability
Sucarrat, Genaro - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-8, pp. 1-33
variability are studied. Second, based on the simulation results a simple but general framework is proposed and illustrated. The …
Persistent link: https://www.econbiz.de/10010332964
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The Link of the Monetary Indicator to Future Inflation in the Euro-Area: A Simulation Experiment
Gottschalk, Jan; Stolz, Stéphanie - In: Vierteljahrshefte zur Wirtschaftsforschung 70 (2001) 3, pp. 416-433
We examine the indicator property of the monetary indicator for inflation. Using a P*-model, Svensson (2000) shows theoretically that the relationship between these two variables is rather tenuous. The present study employs empirical evidence on the relations in his model to quantify its...
Persistent link: https://www.econbiz.de/10010377548
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Das IMM: ein makroökonometrisches Mehrländermodell
Dreger, Christian; Zinsmeister, Florian - In: Vierteljahrshefte zur Wirtschaftsforschung 76 (2007) 4, pp. 35-46
hinaus wird das Modell zur Simulation der Effekte alternativer wirtschaftspolitischer Maßnahmen eingesetzt. …
Persistent link: https://www.econbiz.de/10010377815
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Stock return predictability and market integration: The role of global and local information
McMillan, David G. - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-18
This paper examines the predictability of a range of international stock markets where we allow the presence of both …
Persistent link: https://www.econbiz.de/10011559218
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Analysis of predictability and accountability transparency practices and FTA on trade growth in selected countries of the Asia-Pacific region: A descriptive-causal approach
Perkins, Rosalyn; Castaño, Mary Caroline; Montemayor, … - In: Journal of Economic Structures 7 (2018) 10, pp. 1-18
Generally, trade policies exclude provision for predictability and accountability as transparency measures and … percent changed in predictability and FTA measures. While increase in trade disputes, i.e., less accountability transparency …
Persistent link: https://www.econbiz.de/10011991444
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Modeling and predictability of exchange rate changes by the extended relative Nelson-Siegel class of models
Ishii, Hokuto - In: International Journal of Financial Studies 6 (2018) 3, pp. 1-15
This paper investigates the predictability of exchange rate changes by extracting the factors from the three-, four …
Persistent link: https://www.econbiz.de/10011996128
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The effects of bankruptcy on the predictability of price formation processes on Warsaw's stock market
Fiedor, Paweł; Hołda, Artur - In: e-Finanse: Financial Internet Quarterly 12 (2016) 1, pp. 32-42
the predictability of these price formation processes. We approximate their predictability as the structural complexity of … logarithmic returns. This method of analysing predictability of price formation processes using information theory follows closely … the mathematical definition of predictability, and is equal to the degree to which redundancy is present in the time …
Persistent link: https://www.econbiz.de/10012011857
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The Ukrainian Crisis - An Unpredictable Event?
Costea, Ana Maria - In: CES Working Papers 8 (2016) 3, pp. 333-347
For years Ukraine tried to balance between the EU and Russia. The strategy proved to be inefficient due to the fact that Ukraine did not hold the required leverage for this kind of strategy and the consequence was observed in the current instability from the Ukrainian state. At the same time,...
Persistent link: https://www.econbiz.de/10012017294