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Early and Late Reformers: Long-Term Trends of Public Expenditure in 21 OECD Countries

Osterkamp, Rigmar - In: CESifo DICE Report 01 (2003) 1, pp. 46-47

Persistent link: https://www.econbiz.de/10011696424

An investigation on the shuttle trade dynamics of a small-open-economy

Sahin, Afsin; Akdi, Yilmaz; Atakan, Cemal - In: International Journal of Economic Sciences and Applied … 1 (2008) 2, pp. 1-12

In this article we have tried to assess the possible relationships between shuttle trade and the expletory variables and the expletory variables, export (f.o.b.), import (c.i.f.) and CPI based real effective US dollar exchange rate. We employed monthly data of Turkey covering the years from...

Persistent link: https://www.econbiz.de/10010289378

Phase II monitoring of auto-correlated linear profiles using linear mixed model

Narvand, A.; Soleimani, P.; Raissi, Sadigh - In: Journal of Industrial Engineering International 9 (2013), pp. 1-9

mixed models to account autocorrelation within observations which is gathered on phase II of the monitoring process. We …

Persistent link: https://www.econbiz.de/10011551796

Overnight Index Rate: Model, calibration and simulation

Yashkir, Olga; Yashkir, Yuri - In: Cogent Economics & Finance 2 (2014) 1, pp. 2-11

In this study, the extended Overnight Index Rate (OIR) model is presented. The fitting function for the probability distribution of the OIR daily returns is based on three different Gaussian distributions which provide modelling of the narrow central peak and the wide fat-tailed component. The...

Persistent link: https://www.econbiz.de/10011559125

Univariate and multivariate control charts for monitoring dynamic-behavior processes: A case study

Haridy, Salah; Wu, Zhang - In: Journal of Industrial Engineering and Management (JIEM) 2 (2009) 3, pp. 464-498

The majority of classic SPC methodologies assume a steady-state (i.e., static) process behavior (i.e., the process mean and variance are constant) without the influence of the dynamic behavior (i.e., an intended or unintended shift in the process mean or variance). Traditional SPC has been...

Persistent link: https://www.econbiz.de/10011938922

Local projections, autocorrelation, and efficiency

Lusompa, Amaze - In: Quantitative Economics 14 (2023) 4, pp. 1199-1220

estimated by OLS and that GLS is not possible because the autocorrelation process is unknown and/or because the GLS estimator … would be inconsistent. I show that the autocorrelation process of LP can be written as a Vector Moving Average (VMA) process … of the Wold errors and impulse responses and that autocorrelation can be corrected for using a consistent GLS estimator …

Persistent link: https://www.econbiz.de/10014536974

Conditional variance forecasts for long-term stock returns

Mammen, Enno; Nielsen, Jens Perch; Scholz, Michael; … - In: Risks 7 (2019) 4, pp. 1-22

In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in excess of different benchmarks, considering the short- and long-term interest rate, the earnings-by-price ratio, and the inflation rate. In particular, we apply in a two-step...

Persistent link: https://www.econbiz.de/10013200531

COVID-19 pandemic and Romanian stock market volatility: A GARCH approach

Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-29

This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...

Persistent link: https://www.econbiz.de/10013201025

Adaptive market hypothesis: Evidence from the Vietnamese stock market

In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-16

This paper aims to test the adaptive market hypothesis in the two main Vietnamese stock exchanges, namely Ho Chi Minh City Stock Exchange (HSX) and Hanoi Stock Exchange (HNX), by measuring the relationship between current stock returns and historical stock returns. In particular, the tests...

Persistent link: https://www.econbiz.de/10012611117

ARFURIMA models: simulations of their properties and application

Jibrin, Sanusi Alhaji; Rahman, Rosmanjawati Abdul - In: Statistics in Transition new series (SiTns) 23 (2022) 2, pp. 69-87

This article defines the Autoregressive Fractional Unit Root Integrated Moving Average (ARFURIMA) model for modelling ILM time series with fractional difference value in the interval of 1൏𝑑൏2. The performance of the ARFURIMA model is examined through a Monte Carlo simulation. Also, some...

Persistent link: https://www.econbiz.de/10013444133